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Smooth Transition Autoregressive Models - A Survey of Recent Developments

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  • van Dijk, Dick

    (Econometric Institute, Erasmus University Rotterdam)

  • Teräsvirta, Timo

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Franses, Philip Hans

    (Econometric Institute, Erasmus University Rotterdam)

Abstract

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.

Suggested Citation

  • van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  • Handle: RePEc:hhs:hastef:0380
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    More about this item

    Keywords

    Regime-switching models; time series model specification; model evaluation; impulse response analysis; forecasting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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