Decision Rules for Selecting between Exponential and Logistic STAR

Oscar Jorda

No 207, Working Papers from University of California, Davis, Department of Economics

Abstract: A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. This procedure has better consistency and power properties than that previously available in the literature. Monte-Carlo simulations and empirical evidence are provided in support of our claims.

Keywords: STAR; expontenial (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 15
Date: 1998-01-31
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Citations: View citations in EconPapers (3)

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