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Thresholds and Smooth Transitions in Vector Autoregressive Models

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  • Kirstin Hubrich

    ()
    (European Central Bank, Frankfurt am Main)

  • Timo Teräsvirta

    ()
    (Aarhus University, Department of Economics and Business and CREATES)

Abstract

This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specifi?cation, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2013-18.

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Length: 54
Date of creation: 06 Jun 2013
Date of revision:
Handle: RePEc:aah:create:2013-18

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation;

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References

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Cited by:
  1. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2014-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Schleer, Frauke & Semmler, Willi, 2013. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 13-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series, National Centre for Econometric Research 100, National Centre for Econometric Research.
  4. Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.

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