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Thresholds and Smooth Transitions in Vector Autoregressive Models

  • Kirstin Hubrich

    ()

    (European Central Bank, Frankfurt am Main)

  • Timo Teräsvirta

    ()

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

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.

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Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2013-18.

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Length: 54
Date of creation: 06 Jun 2013
Date of revision:
Handle: RePEc:aah:create:2013-18
Contact details of provider: Web page: http://www.econ.au.dk/afn/

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