Testing the adequacy of smooth transition autoregressive models

DOI10.1016/0304-4076(95)01751-8zbMATH Open0864.62058OpenAlexW2068882226MaRDI QIDQ1126494FDOQ1126494

Authors: Øyvind Eitrheim, Timo Teräsvirta 

Publication date: 26 June 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01751-8

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zbMATH Keywords

simulationestimationevaluationspecificationLagrange multiplier testsmall samplesnonlinear time series modelsSTAR modelshypothesis of no error autocorrelationhypothesis of no remaining nonlinearityparameter constancyresidual nonlinearity test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (47)

• Stability and non-linear dynamics in the broad demand for money in Spain.
• Detecting business cycle asymmetries using artificial neural networks and time series models
• Fractionally integrated time varying GARCH model
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for a unit root in a stationary ESTAR process
• Elements of randomized forecasting and its application to daily electrical load prediction in a regional power system
• Title not available (Why is that?)
• Diagnostic Checking in a Flexible Nonlinear Time Series Model
• Seasonal nonlinear long memory model for the US inflation rates
• Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
• A nonlinear long memory model, with an application to US unemployment.
• Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974--1998
• Modelling autoregressive processes with a shifting mean
• A time series model for an exchange rate in a target zone with applications
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling
• On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
• Evaluating GARCH models.
• Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters
• The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
• Heterogeneity in stock prices: a STAR model with multivariate transition function
• Testing for smooth transition nonlinearity in partially nonstationary vector autoregressions
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• The behavior of divorce rates: a smooth transition regression approach
• Testing multiple equation systems for common nonlinear components
• Tests for linearity in star models: SupWald and LM-type tests
• Tree-structured smooth transition regression models
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Real exchange rate behavior in the Middle East: A re-examination
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• Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences
• Modeling and forecasting interval time series with threshold models
• Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables
• Specification and testing of multiplicative time-varying GARCH models with applications
• Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
• Testing linearity against smooth transition autoregressive models
• Testing for UIP-type relationships: nonlinearities, monetary announcements and interest rate expectations
• Robust inference for predictability in smooth transition predictive regressions
• Smooth transition simultaneous equation models
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Forecasting performance of exponential smooth transition autoregressive exchange rate models
• A Portmanteau Test for Smooth Transition Autoregressive Models
• The behavior of US public debt: A nonlinear perspective
• A comparison of statistical tests for the adequacy of a neural network regression model
• Estimation and inference in unstable nonlinear least squares models
• A sequential procedure for determining the number of regimes in a threshold autoregressive model

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