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.

Additional Metadata
Keywords forecasting, impulse response analysis, model evalution, regime-switching models, time series model specification
Persistent URL
Series Econometric Institute Research Papers
van Dijk, D.J.C, Terasvirta, T, & Franses, Ph.H.B.F. (2000). Smooth transition autoregressive models - A survey of recent developments (No. EI 2000-23/A). Econometric Institute Research Papers. Retrieved from