Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

JOURNAL ARTICLE published March 1994 in Journal of the American Statistical Association

Authors: Timo Teräsvirta

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

JOURNAL ARTICLE published March 1994 in Journal of the American Statistical Association

Authors: Timo Terasvirta

Forecasting with Smooth Transition Autoregressive Models

OTHER published January 2004 in A Companion to Economic Forecasting

Authors: Stefan Lundbergh | Timo Teräsvirta

Testing linearity against smooth transition autoregressive models

JOURNAL ARTICLE published 1988 in Biometrika

Authors: RITVA LUUKKONEN | PENTTI SAIKKONEN | TIMO TERÄSVIRTA

Testing the adequacy of smooth transition autoregressive models

JOURNAL ARTICLE published September 1996 in Journal of Econometrics

Authors: Øyvind Eitrheim | Timo Teräsvirta

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

JOURNAL ARTICLE published 2002 in Econometric Reviews

Authors: Dick Dijk | Timo Teräsvirta | Philip Franses

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

JOURNAL ARTICLE published 4 January 2002 in Econometric Reviews

Authors: Dick van Dijk | Timo Teräsvirta | Philip Hans Franses

Time-Varying Smooth Transition Autoregressive Models

JOURNAL ARTICLE published January 2003 in Journal of Business & Economic Statistics

Authors: Stefan Lundbergh | Timo Teräsvirta | Dick van Dijk

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Daniel Buncic

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Daniel Buncic

Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Daniel Buncic

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

JOURNAL ARTICLE published 14 September 2022 in Econometric Reviews

Authors: Dakyung Seong | Jin Seo Cho | Timo Teräsvirta

A robust algorithm for parameter estimation in smooth transition autoregressive models

JOURNAL ARTICLE published April 2009 in Economics Letters

Authors: Stelios D. Bekiros

Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models

JOURNAL ARTICLE published 1 January 2017 in Electronic Journal of Statistics

Authors: Xin Ding | Ziyi Qiu | Xiaohui Chen

Thresholds and Smooth Transitions in Vector Autoregressive Models

BOOK CHAPTER published 9 August 2014 in Var Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims

Authors: Kirstin Hubrich | Timo Teräsvirta

Smooth Transition Regression Modeling

BOOK CHAPTER published 2 August 2004 in Applied Time Series Econometrics

Authors: Timo Teräsvirta

Thresholds and Smooth Transitions in Vector Autoregressive Models

BOOK CHAPTER published 13 December 2013 in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims

Authors: Kirstin Hubrich | Timo Teräsvirta

Specification Testing Via m-Tests

BOOK CHAPTER published 30 September 1994 in Estimation, Inference and Specification Analysis

Nonlinear Models for Autoregressive Conditional Heteroskedasticity

OTHER published 20 April 2012 in Handbook of Volatility Models and Their Applications

Authors: Timo Teräsvirta

Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Harry H. Kelejian | Ingmar R. Prucha