Lundbergh, Stefan; Terasvirta, Timo; van Dijk, Dick - In: Journal of Business & Economic Statistics 21 (2003) 1, pp. 104-21
Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and...