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Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

Timo Teräsvirta () and Yukai Yang ()

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

Abstract: We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of specification, including testing linearity, estimation and evaluation of these models is constructed. Nonlinear least squares estimation of the parameters of the model is discussed. Evaluation by misspecification tests is carried out using tests derived in a companion paper. The use of the modelling strategy is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists and time series analysts. JEL Classification: C32, C51, C52

Keywords: Vector STAR model; Modelling nonlinearity; Vector autoregression; Generalized impulse response; Asymmetry; Oil price River flow (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ger
Date: 2014-03-21
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Working Paper: Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014) Downloads
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