TARMODELS: RATS program to demonstrate tests for and estimation of a STAR model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of estimation of a STAR Model. This is based on example 3 from Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, pp 208-218.

Language: RATS
Requires: RATS 11.00
Keywords: STAR Model; Threshold model (search for similar items in EconPapers)
Date: 2026-01-02
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