Template-Type: ReDIF-Paper 1.0
Author-Name: Escribano, A.
Author-Name-Last: Escribano
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: Nonlinearities and outliers: robust specification of STAR models
Abstract: Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the behavior of two competing specification procedures for Smooth Transition AutoRegressive [STAR] models under various different circumstances (linear and 
 nonlinear data generating processes, with and without outlier contamination). The extensive simulation evidence demonstrates that 
 the use of outlier-robust variants of the linearity tests which are involved leads to procedures with more desirable properties. 
 An application to several real exchange rate series illustrates the potential usefulness of the robust specification procedures,
 especially in case one is not certain whether or not aberrant observations are present.
Creation-Date: 1998-08-10
File-URL: https://repub.eur.nl/pub/1542/feweco19981126094918.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9832
Keywords: Monte Carlo methods, Outliers, Smooth Transition AutoRegressive models, nonlinearity
Handle: RePEc:ems:eureir:1542