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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

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: 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
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Published in Econometric Reviews, 2002, pages 1-47.

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