Smooth transition autoregressive models - A survey of recent developments

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.

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Year of publication:	2000-06-09
Authors:	Dijk, D.J.C. van ; Terasvirta, T. ; Franses, Ph.H.B.F.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	regime-switching models \| time series model specification \| model evalution \| forecasting \| impulse response analysis

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2000-23/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008584722