Dijk, D.J.C. van; Terasvirta, T.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2000
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,...
