starvars

MaRDI QIDQ116352CRANFDO

Authors Andrea Bucci, Giulio Palomba, Eduardo Rossi

Last update 26 January 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.1.10, PACKAGES.rds, 0.1.7, 0.1.8, 1.1.1, 1.1.2, 1.1.5, 1.1.7, 1.1.8, 1.1.9, 1.1.11

Description

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>).

Cites work

• The distribution of realized stock return volatility
• Thresholds and smooth transitions in vector autoregressive models

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