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:	2000-05-01
Authors:	van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Regime-switching models \| time series model specification \| model evaluation \| impulse response analysis \| forecasting

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Extent:	text/plain application/zip
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Econometric Reviews, 2002, pages 1-47. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 380 55 pages
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005649222