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Smooth transition autoregressive models - A survey of recent developments

Dick van Dijk (), Timo Teräsvirta () and Philip Hans Franses

No EI 2000-23/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper surveys recent developments related to the smooth transition autoregressive [STAR] time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model, which concern multiple regimes, time-varying nonlinear properties, and models for vector time series, are also reviewed.

Keywords: forecasting; impulse response analysis; model evalution; regime-switching models; time series model specification (search for similar items in EconPapers)
Date: 2000-06-09
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https://repub.eur.nl/pub/1656/feweco20000609141913.pdf (application/pdf)

Related works:
Journal Article: SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002) Downloads
Working Paper: Smooth Transition Autoregressive Models - A Survey of Recent Developments (2001) Downloads
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