Smooth transition autoregressive models - a survey of recent developments
January 2002
Article
pp 1-47.
| Related Files |
|---|
|
Redirect to publisher's version
(publisher's version.url.txt, 39 bytes) |
Repository contains one additional file which is not publicly available
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.
Keywords
- Forecasting
- Regime-switching models
- Time series model specification
- Time-series analysis
- Econometric models
- Analysis of variance
- Aregression (Statistics)
- Empirical research
- Impulse response analysis
- Model evaluation
- Nonlinear theories
- Vector analysis
