Modelling macroeconomic time series with smooth transition autoregressions

Modelling macroeconomic time series with smooth transition autoregressions

Among the parametric nonlinear time series model families, the smooth transition regression (STR) model has recently received attention in the literature. The considerations in this dissertation focus on the univariate special case of this model, the smooth transition autoregression (STAR) model, al...

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Bibliographic Details
Main Author: Skalin, Joakim
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Ekonomisk Statistik (ES) 1998
Subjects:
Time series
Non-linear models
Linearity test
Smooth transition autoregression
Causality
Business cycles
Asymmetry
Bootstrap testing
Econometrics
Ekonometri
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-650
http://nbn-resolving.de/urn:isbn:91-7258-502-1

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-650
http://nbn-resolving.de/urn:isbn:91-7258-502-1

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