This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.

This paper reconsiders the time-series properties of inter- war pound-franc and pound-dollar exchange rate returns in the context of a smooth transition variant of the threshold autoregressive model. It is found that autoregressive structure in returns is largely confined to values in proximity...

A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most...