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Decision Rules for Selecting between Exponential and Logistic STAR

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Author Info
Escribano, Alvaro (Universidad Carlos III de Madrid)
Jorda, Oscar (U of California, Davis)

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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.

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Publisher Info
Paper provided by University of California at Davis, Department of Economics in its series Working Papers with number 06-11.

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Date of creation: Sep 1998
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Handle: RePEc:ecl:ucdeco:06-11

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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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. Rothman, Philip, 1988. "Further Evidence On The Asymmetric Behavior Of Unemployment Rates Over The Business Cycle," Working Papers 88-23, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
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  3. Alvaro Escribano & Oscar Jorda, . "Improved Testing And Specification Of Smooth Transition Regression Models," Department of Economics 97-26, California Davis - Department of Economics. [Downloadable!]
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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. Alina Spiru, 2007. "Inflation convergence in the new EU member states," Working Papers 005221, Lancaster University Management School, Economics Department. [Downloadable!]
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