starvars (Q116352)
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Vector Logistic Smooth Transition Models Estimation and Prediction
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | starvars |
Vector Logistic Smooth Transition Models Estimation and Prediction |
Statements
Giulio Palomba
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Eduardo Rossi
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26 January 2026
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Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).
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