Smooth Transition Models

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate application of smooth transition models to testing Granger noncausality between variables is presented using two long Swedish macroeconomic time series.

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Year of publication:	1996-11
Authors:	Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	economic modelling \| Granger-causality. Linearity testing \| nonlinearity \| smooth transition regression \| switching regression \| time series

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in System dynamics in economic and financial models, Heij, C., Schumacher, J. M., Hanzon, B., Praagman, C. (eds.), 1997, pages 107-133, Wiley. The text is part of a series Working Paper Series in Economics and Finance Number 132 29 pages
Classification:	C22 - Time-Series Models ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649453