Smooth Transition Models

Timo Teräsvirta

No 132, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate application of smooth transition models to testing Granger noncausality between variables is presented using two long Swedish macroeconomic time series.

Keywords: economic modelling; Granger-causality. Linearity testing; nonlinearity; smooth transition regression; switching regression; time series (search for similar items in EconPapers)
JEL-codes: C22 C50 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1996-11
References: Add references at CitEc
Citations: View citations in EconPapers (183)

Published in System dynamics in economic and financial models, Heij, C., Schumacher, J. M., Hanzon, B., Praagman, C. (eds.), 1997, pages 107-133, Wiley.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0132

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