TSLSTARMOD: Stata module to estimate a Logistic Smooth Transition Autoregressive Regression (LSTAR) Model for Time Series Data

Ibrahima Diallo

Statistical Software Components from Boston College Department of Economics

Abstract: tslstarmod performs an estimation of a logistic smooth transition autoregressive regression (LSTAR) model for time series data. This command allows estimating an endogenous structural break point in a time series data. The endogenous threshold when found is determined smoothly, contrarily to brutal transitions. In this regard, the LSTAR model can be considered as a generalization of the usual autoregressive process because the transition function is a smooth logistic function. The command allows to test the presence of an LSTAR model against a presence of a linear autoregressive model. It also handles the determination of the delay parameter. The theory behind the command tslstarmod can be found, for instance, in Terasvirta (2004) and Enders (2015).

Language: Stata
Requires: Stata version 15.1
Keywords: LSTAR; logistic; smooth transition; autoregression (search for similar items in EconPapers)
Date: 2019-09-14, Revised 2019-09-22
Note: This module should be installed from within Stata by typing "ssc install tslstarmod". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/t/tslstarmod.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tslstarmod.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tslstarmod_initvals.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tslstarmod_ll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tslstarmod_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/tslstarmodtest.ado program code (text/plain)

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