Decision Rules for Selecting between Exponential and Logistic STAR

A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. This procedure has better consistency and power properties than that previously available in the literature. Monte-Carlo simulations and empirical evidence are provided in support of our claims.

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Year of publication:	1998-02-01
Authors:	Jorda, Oscar
Institutions:	Economics Department, University of California-Davis
Subject:	STAR \| expontenial

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 611 1 pages long
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008620364