Thresholds and Smooth Transitions in Vector Autoregressive Models

Kirstin Hubrich () and Timo Teräsvirta

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specifi?cation, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

Keywords: common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 C53 (search for similar items in EconPapers)
Pages: 54
Date: 2013-06-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (70)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2013-18

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