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The Bi-parameter Smooth Transition AutoRegressive model

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  • Boriss Siliverstovs

    () (Department of Economics, University of Aarhus, Denmark)

Abstract

The paper introduces a nonlinear model that belongs to the STAR family of models. The main feature of the suggested Bi-parameter Smooth Transition AutoRegressive (BSTAR) model is that it allows for different speed of transition between the middle regime and each of the identical outer regimes. Thus, the BSTAR model can be considered as a generalization of the LSTR2 model introduced in Ter„svirta (1998) which imposes symmetric speed of adjustment between the middle and each of the identical outer regimes.

Suggested Citation

  • Boriss Siliverstovs, "undated". "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:aarhec:2000-16
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    File URL: ftp://ftp.econ.au.dk/afn/wp/00/wp00_16.pdf
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    References listed on IDEAS

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    Cited by:

    1. Effrosyni Diamantoudi, 2003. "Equilibrium binding agreements under diverse behavioral assumptions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(2), pages 431-446, September.

    More about this item

    Keywords

    STAR models; nonlinear time series; Index of Industrial Production;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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