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Smooth Transition Autoregressive Models - A Survey of Recent Developments

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  • van Dijk, Dick

    ()
    (Econometric Institute, Erasmus University Rotterdam)

  • Teräsvirta, Timo

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Franses, Philip Hans

    ()
    (Econometric Institute, Erasmus University Rotterdam)

Abstract

This paper surveys recent developments related to the smooth transition autoregressive [STAR] time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model, which concern multiple regimes, time-varying nonlinear properties, and models for vector time series, are also reviewed.

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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 380.

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Length: 55 pages
Date of creation: 01 May 2000
Date of revision: 17 Jan 2001
Publication status: Published in Econometric Reviews, 2002, pages 1-47.
Handle: RePEc:hhs:hastef:0380

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Keywords: Regime-switching models; time series model specification; model evaluation; impulse response analysis; forecasting;

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