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RATS programs to replicate Terasvirta's 1994 STAR model results

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication programs for Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, pp 208-218. Demonstrates the procedures startest.src, yulelags.src, and lagpolyroots.src.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Terasvirta's 1994 STAR model results," Statistical Software Components RTZ00158, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00158
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/terasvirtajasa1994.zip
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    More about this item

    Keywords

    STAR model; RATS;

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