Smooth Transition Autoregressive Models - A Survey of Recent Developments
Dick van Dijk (),
Timo Teräsvirta () and
Philip Hans Franses
No 380, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
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: Regime-switching models; time series model specification; model evaluation; impulse response analysis; forecasting (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2000-05-01, Revised 2001-01-17
References: Add references at CitEc
Citations: View citations in EconPapers (66) Track citations by RSS feed
Published in Econometric Reviews, 2002, pages 1-47.
Downloads: (external link)
http://swopec.hhs.se/hastef/papers/hastef0380.readme.txt readme (text/plain)
http://swopec.hhs.se/hastef/papers/hastef0380.code.zip software for paper (application/zip)
Journal Article: SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)
Working Paper: Smooth transition autoregressive models - A survey of recent developments (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0380
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.
Bibliographic data for series maintained by Helena Lundin ().