SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Authors:
Dick van Dijk a;
Timo Ter
svirta b;
Philip Hans Franses a
svirta b;
Philip Hans Franses a
| Affiliations: | a Econometric Institute, Erasmus University, Rotterdam |
| b Department of Economic Statistics, Stockholm School of Economics, Stockholm |
DOI:
10.1081/ETC-120008723
Publication Frequency:
6 issues per year
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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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| Keywords: Regime-switching models; Time series model specification; Model evaluation; Forecasting; Impulse response analysis; JEL Classification: C22, C52, E24 |
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