 Modelling Economic Relationships with Smooth Transition RegressionsNo 131, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics Abstract: This paper has been prepared for Handbook of Applied Economic Statistics, edited by David Giles and Aman Ullah. It considers a particular class of single-equation nonlinear multivariate models called smooth transition regression (STR) models. Inference in these models, including testing linearity against STR and testing Granger noncausality, is discussed. A modelling cycle, consisting of the specification, estimation, and evaluation of these models is presented and its different stages considered in detail. Model encompassing also receives attention. Furthermore, the chapter contains a previously unpublished empirical application of the STR model to modelling UK housing price expectations. This example illustrates the workings of the modelling cycle and possible usefulness of the STR model in dynamic macroeconomic modelling. Keywords: Causality; econometric modelling; linearity test; misspecification test; nonlinear model; structural change (search for similar items in EconPapers) Published in Handbook of Applied Economic Statistics, Ullah, A., Giles, D.E.A. (eds.), 1998, pages 507-552, Dekker. There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0131 Access Statistics for this paper More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC. |
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