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Statistical Properties of the Asymmetric Power ARCH Process

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997

The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …

Persistent link: https://www.econbiz.de/10005423779

Investigating Stability and Linearity of a German M1 Money Demand Function

Lütkepohl, Helmut; Teräsvirta, Timo; Wolters, Jürgen - Economics Institute for Research (SIR), … - 1995

Starting from a linear error correction model the stability and linearity of a German M1 moneyt demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted data from 1961 (1) to 1990 (2) it is found that the money demand equation is both linear...

Persistent link: https://www.econbiz.de/10005423786

THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH

Persson, Anna; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1999

This paper analyzes the net barter terms of trade measured by the primary commodity price index relative to the index of unit values of export of manufactures from industrial countries. The starting-point is that the series is stationary but possibly nonlinear. Statistical tests indicate that...

Persistent link: https://www.econbiz.de/10005423802

Another Look at Swedish Business Cycles, 1861-1988

Skalin, Joakim; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

logarithmed and difference series are non-linear. The observed nonlinearity is characterized by STAR models. The statistical and …

Persistent link: https://www.econbiz.de/10005423876

Error correction in DHSY

Eliasson, Ann-Charlotte; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10005649132

Modelling the Demand for M3 in the unified Germany

Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - Economics Institute for Research (SIR), … - 1996

An error correction model for the demand for real M3 money is constructed for the period 1976-1994 with real GNP, the GNP deflator as well as a short-term and a long-term interest rate as explanatory variables. Quarterly, seasonally unadjusted data are used in estimating the model. It is found...

Persistent link: https://www.econbiz.de/10005649183

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - Economics Institute for Research (SIR), … - 2003

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...

Persistent link: https://www.econbiz.de/10005649224

Time-Varying Smooth Transition Autoregressive Models

Lundbergh, Stefan; Teräsvirta, Timo; van Dijk, Dick - Economics Institute for Research (SIR), … - 2000

Nonlinearity, and regime-switching behavior in particular, and structural change have often been perceived as competing … used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two … obtaining a quick impression of the importance of nonlinearity and/or structural change for a particular time series. This is …

Persistent link: https://www.econbiz.de/10005649404

Smooth Transition Models

Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1996

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...

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

A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998

A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most...

Persistent link: https://www.econbiz.de/10005649505