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The Bi-parameter Smooth Transition AutoRegressive model

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Author Info
Boriss Siliverstovs () (Department of Economics, University of Aarhus, Denmark)

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Abstract

The paper introduces a nonlinear model that belongs to the STAR family of models. The main feature of the suggested Bi-parameter Smooth Transition AutoRegressive (BSTAR) model is that it allows for different speed of transition between the middle regime and each of the identical outer regimes. Thus, the BSTAR model can be considered as a generalization of the LSTR2 model introduced in Ter„svirta (1998) which imposes symmetric speed of adjustment between the middle and each of the identical outer regimes.

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Paper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2000-16.

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Handle: RePEc:aah:aarhec:2000-16

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Related research
Keywords: STAR models; nonlinear time series; Index of Industrial Production;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
E23 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Production

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  1. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  2. Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-63, November.
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  3. Van Dijk, D. & Franses, P.H., 1997. "Nonlinear Error-Correction Models for Interest rates in the Netherlands," Papers 9704/a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
  4. Effrosyni Diamantoudi & Licun Xue, 2003. "Farsighted stability in hedonic games," Social Choice and Welfare, Springer, vol. 21(1), pages 39-61, 08. [Downloadable!] (restricted)
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  5. Jamsheed Shorish, . "Quasi-Static Macroeconomic Systems," Economics Working Papers 2000-3, School of Economics and Management, University of Aarhus. [Downloadable!]
  6. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November. [Downloadable!] (restricted)
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  8. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 505-28, December. [Downloadable!] (restricted)
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  9. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus. [Downloadable!]
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  10. Boriss Siliverstovs, 2005. "The Bi-parameter Smooth Transition Autoregressive model," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-11. [Downloadable!]
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  11. Skalin, Joakim & Teräsvirta, Timo, 1998. "Modelling asymmetries and moving equilibria in unemployment rates," Working Paper Series in Economics and Finance 262, Stockholm School of Economics, revised 05 Oct 1998.
  12. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November. [Downloadable!] (restricted)
  13. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
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  14. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-21, January.
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  15. Graham Elliott & Michael Jansson, . "Testing for Unit Roots with Stationary Covariates," Economics Working Papers 2000-6, School of Economics and Management, University of Aarhus. [Downloadable!]
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  16. Rosholm, Michael & Svarer, Michael, 2001. "Structurally dependent competing risks," Economics Letters, Elsevier, vol. 73(2), pages 169-173, November. [Downloadable!] (restricted)
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  17. Licun Xue, . "A Notion of Consistent Rationalizability - Between Weak and Pearce's Extensive Form Rationalizability," Economics Working Papers 2000-4, School of Economics and Management, University of Aarhus. [Downloadable!]
  18. Huizinga, F & Schiantarelli, Fabio, 1992. "Dynamics and Asymmetric Adjustment in Insider-Outsider Models," Economic Journal, Royal Economic Society, vol. 102(415), pages 1451-66, November. [Downloadable!] (restricted)
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  19. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
  20. Xue, Licun, 2002. "Stable agreements in infinitely repeated games," Mathematical Social Sciences, Elsevier, vol. 43(2), pages 165-176, March. [Downloadable!] (restricted)
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  21. David Andolfatto, 1997. "Evidence and Theory on the Cyclical Asymmetry in Unemployment Rate Fluctuations," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 709-21, August. [Downloadable!] (restricted)
  22. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179. [Downloadable!] (restricted)
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  23. Mark P. Taylor, 2003. "Purchasing Power Parity," Review of International Economics, Blackwell Publishing, vol. 11(3), pages 436-452, 08. [Downloadable!] (restricted)
  24. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Boriss Siliverstovs, . "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  2. Effrosyni Diamantoudi, . "Equilibrium Binding Agreements under Diverse Bahavioral Assumptions," Economics Working Papers 2001-2, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
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