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
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)
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Journal Article: SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)
Working Paper: Smooth Transition Autoregressive Models - A Survey of Recent Developments (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1656
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