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TSLSTARMOD: Stata module to estimate a Logistic Smooth Transition Autoregressive Regression (LSTAR) Model for Time Series Data

Author

Listed:
  • Diallo Ibrahima Amadou

    (CERDI, University of Clermont Auvergne)

Programming Language

Stata

Abstract

tslstarmod performs an estimation of a logistic smooth transition autoregressive regression (LSTAR) model for time series data. This command allows estimating an endogenous structural break point in a time series data. The endogenous threshold when found is determined smoothly, contrarily to brutal transitions. In this regard, the LSTAR model can be considered as a generalization of the usual autoregressive process because the transition function is a smooth logistic function. The command allows to test the presence of an LSTAR model against a presence of a linear autoregressive model. It also handles the determination of the delay parameter. The theory behind the command tslstarmod can be found, for instance, in Terasvirta (2004) and Enders (2015).

Suggested Citation

  • Diallo Ibrahima Amadou, 2019. "TSLSTARMOD: Stata module to estimate a Logistic Smooth Transition Autoregressive Regression (LSTAR) Model for Time Series Data," Statistical Software Components S458684, Boston College Department of Economics, revised 22 Sep 2019.
    • Handle: RePEc:boc:bocode:s458684
    Note: This module should be installed from within Stata by typing "ssc install tslstarmod". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmod.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmod.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmod_initvals.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmod_ll.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmod_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tslstarmodtest.ado
    File Function: program code
    Download Restriction: no
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