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Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

Timo Terasvirta
Journal of the American Statistical Association
Vol. 89, No. 425 (Mar., 1994), pp. 208-218
DOI: 10.2307/2291217
Stable URL: http://www.jstor.org/stable/2291217
Page Count: 11
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Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
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Abstract

This article considers the application of two families of nonlinear autoregressive models, the logistic (LSTAR) and exponential (ESTAR) autoregressive models. This includes the specification of the model based on simple statistical tests: linearity testing against smooth transition autoregression, determining the delay parameter and choosing between LSTAR and ESTAR models are discussed. Estimation by nonlinear least squares is considered as well as evaluating the properties of the estimated model. The proposed techniques are illustrated by examples using both simulated and real time series

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