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Smooth Transition Autoregressive Models — A Survey Of Recent Developments

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  • Dick van Dijk
  • Timo Terasvirta
  • Philip Hans Franses

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.

Suggested Citation

  • Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
    • Handle: RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47
    DOI: 10.1081/ETC-120008723
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    More about this item

    Keywords

    Regime-switching models; Time series model specification; Model evaluation; Forecasting; Impulse response analysis; JEL Classification: C22; C52; E24;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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