SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

By Dick Van Dijk, Timo Teräsvirta, Philip Hans Franses. 2002

1,288 citations recorded by the source corpus.

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Citations in the corpus

State-Varying Factor Models of Large Dimensions (2018, methodology): “This alternative approach is analogous to the smooth transition autoregressive model in the low-dimensional setting (Dijk, Teräsvirta, and Franses 2002).”
Instability and Nonlinearity in the Euro-Area Phillips Curve (2012, unknown): “In addition, the volatility of inflation has changed during the past three decades, with a large decline observed since the mid-1980s to early 1990s, depending on the country (van Dijk et al. 2002a).”
The Monetary Policy of the European Central Bank (2007, unknown): “As argued by Woodford (2003), the central bank can make society better off by accommodating technology and preference shocks while offsetting disturbances to inflation and wage markups.”
Threshold models in time series analysis—Some reflections (2015, background): “Ekner and Nejstgaard also re-examined the model fitted by van Dijk et al. (2002) to the U.S. male unemployment rate (1968:6-1989:12).”
Panel Smooth Transition Regression Models (2005, methodology): “In the following subsections we discuss these elements in more detail, see also Teräsvirta (1998) and van Dijk, Teräsvirta, and Franses (2002), among others.”
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly (2006, methodology): “The high levels of uncertainty involved in estimating the transition parameter have been documented by a number of authors, e.g. van Dijk et al. (2002).”
A multi‐level panel STAR model for US manufacturing sectors (2005, methodology): “Such a concentration approach is also used in estimating univariate STAR models, see van Dijk et al. (2002).”
Entrepreneurship and unemployment: A nonlinear bidirectional causality? (2010, methodology): “See Granger and Teräsvirta (1993), Teräsvirta (1994, 1998) and van Dijk et al. (2002) for a further insight of STs.”
Dealing with Structural Breaks (2005, background): “…Yamada (2003), Maddala nd Kim (1998), Tong (1990) and the following review articles: Bhattacharya (1994), Deshayes and Picard (1986), Hackl and Westlund (1989), Krishnaiah and Miao (1988), Perron (1994), Pesaran et al. (1985), Shaban (1980), Stock (1994), van Dijk et al. (2002) and Zacks (1983).”
Modelling Monetary Policy: Inflation Targeting in Practice (2004, unknown): “2 In addition, (9d) has the drawback that it becomes linear for extreme values of the σ parameter ( van Dijk et al, 2001 ).”
Threshold autoregression in economics (2011, methodology): “Extensive reviews on the STAR model in economics can be found in the monographs by Granger and Terasvirta [38] and Franses and van Dijk [31], and the review paper by van Dijk, Terasvirta and Franses [23].”