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Decision Rules for Selecting between Exponential and Logistic STAR

Author

Listed:
  • Oscar Jorda

    (Department of Economics, University of California Davis)

Abstract

A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. This procedure has better consistency and power properties than that previously available in the literature. Monte-Carlo simulations and empirical evidence are provided in support of our claims.

Suggested Citation

  • Oscar Jorda, 1998. "Decision Rules for Selecting between Exponential and Logistic STAR," Working Papers 207, University of California, Davis, Department of Economics.
    • Handle: RePEc:cda:wpaper:207
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    File URL: https://repec.dss.ucdavis.edu/files/YH5WLGKyiByp5G7BGNP7Tiq8/06-11.pdf
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    Citations

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    Cited by:

    1. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.
    2. Brannolte Cord & Kim Jeong-Ryeol & Hansen Gerd, 1999. "Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 271-283, June.

    More about this item

    Keywords

    STAR; expontenial;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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