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Thresholds and Smooth Transitions in Vector Autoregressive Models

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  • Kirstin Hubrich

    () (European Central Bank, Frankfurt am Main)

  • Timo Teräsvirta

    () (Aarhus University, Department of Economics and Business and CREATES)

Abstract

This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specifi?cation, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

Suggested Citation

  • Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2013-18
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    More about this item

    Keywords

    common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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