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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 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 non-linear properties, and models for vector time series, are also reviewed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Econometric Reviews Taylor & Francis

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

Econometric Reviews , Volume 21 (1): 47 – Jan 4, 2002

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 non-linear properties, and models for vector time series, are also reviewed.

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References (109)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1532-4168
eISSN
0747-4938
DOI
10.1081/ETC-120008723
Publisher site
See Article on Publisher Site

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 non-linear properties, and models for vector time series, are also reviewed.

Journal

Econometric ReviewsTaylor & Francis

Published: Jan 4, 2002

Keywords: Regime-switching models; Time series model specification; Model evaluation; Forecasting; Impulse response analysis; JEL Classification: C22, C52, E24

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