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 non-linear properties, and models for vector time series, are also reviewed.

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Year of publication:	2002
Authors:	Dijk, Dick van ; Terasvirta, Timo ; Franses, Philip Hans
Published in:	Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 21.2002, 1, p. 1-47
Publisher:	Taylor & Francis Journals
Subject:	Regime-switching models \| Time series model specification \| Model evaluation \| Forecasting \| Impulse response analysis

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Extent:	text/html
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; E24 - Employment; Unemployment; Wages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005292341