Time-Varying Smooth Transition Autoregressive Models

By S. Lundbergh, Timo Teräsvirta, Dick Van Dijk. 2003

211 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/444b1ad72f96002d3a14622cb36ed20661ba1653

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In Economics and Econometrics

Citations in the corpus

Time series forecasting for nonlinear and non-stationary processes: a review and comparative study (2015, background): “Lundbergh et al. (2003) proposed a model to consider simultaneously regime alternating and time-varying coefficients; i.e., AR coefficients change both according to time and to an input variable that switches smoothly between two regimes.”
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, methodology): “The test of δ2 = 0 can be viewed as a generalisation of the univariate linearity test by Luukkonen et al. (1988) or the one in Teräsvirta, Lin and Granger (1993), see also Section 5.3.1. Kapetanios, Shin and Snell (2006) test the null hypothesis of no cointegration against smooth transition cointegr”
Comovement in International Equity Markets: A Sectoral View (2005, methodology): “14 See Lundbergh et al. (2003) for an application of this approach to the AR model.”
Instability and Nonlinearity in the Euro-Area Phillips Curve (2012, unknown): “For that purpose, we adopt the methodology underlying the time-varying smooth transition (TV-STR) models as developed in Lundbergh et al. (2003).”
Panel Smooth Transition Regression Models (2005, methodology): “Model (12) has the same structure as the time-varying smooth transition autoregressive (TV- STAR) model discussed in Lundbergh, Teräsvirta, and van Dijk (2003).”
An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models (2012, methodology): “0, because in this way the criterion behavior is equivalent to a test of linearity-stationarity against two-regimes alternatives proposed by Lundbergh et al. (2003), see Battaglia and Protopapas (2011).”