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Smooth transition autoregressive models - A survey of recent developments

  • van Dijk, D.J.C.
  • Terasvirta, T.
  • Franses, Ph.H.B.F.

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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File URL: http://repub.eur.nl/pub/1656/feweco20000609141913.pdf
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Paper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 2000-23/A.

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Date of creation: 09 Jun 2000
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Handle: RePEc:ems:eureir:1656
Contact details of provider: Postal: Postbus 1738, 3000 DR Rotterdam
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Web page: http://www.eur.nl/ese

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