In this paper, we study the industrial production index of Sweden from Jan, 2000 to latest Feb, 2010. We find out there is a structural break at time point Dec, 2007, when the global financial crisis burst out first in U.S then spread to Europe. To model the industrial production index, one of the business cycle indicators which may behave nonlinear feature suggests utilizing a smooth transition autoregressive (STAR) model. Following the procedures given by Teräsvirta (1994), we carry out the linearity test against the STAR model, determine the delay parameter and choose between the LSTAR model and the ESTAR model. The results from the estimated model suggest the STAR model is better performing than the linear autoregressive model
This paper studies the predictive performance and in-sample dynamics of three regime switching model...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles i...
Abstract: One of the most important family of nonlinear time-series models, capable of exhibiting li...
In this paper, we study the industrial production index of Sweden from Jan, 2000 to latest Feb, 2010...
During the past few years investigators have found evidence indicating that various time-series repr...
The possible nonlinearity of business cycles is an old topic in eco-nomics. In this paper, I adopt t...
In this paper we intend to experiment Smooth Threshold Autoregressive model (STAR) in order to captu...
This paper estimates Logistic Smooth Transition Autoregressive (LSTAR) models to analyze nonlinearit...
This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smoo...
This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, ...
textabstractThis paper surveys recent developments related to the smooth transition autoregressive [...
Travel and leisure recorded a consecutive robust growth and become among the fastest economic sector...
This study evaluates the suitability of the Smooth transition autoregressive (STAR) models specifica...
The aim of this work is describing theory of smooth transition autoregressive models, namely LSTAR a...
textabstractWe compare the forecasting performance of linear autoregressive models, autoregressive m...
This paper studies the predictive performance and in-sample dynamics of three regime switching model...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles i...
Abstract: One of the most important family of nonlinear time-series models, capable of exhibiting li...
In this paper, we study the industrial production index of Sweden from Jan, 2000 to latest Feb, 2010...
During the past few years investigators have found evidence indicating that various time-series repr...
The possible nonlinearity of business cycles is an old topic in eco-nomics. In this paper, I adopt t...
In this paper we intend to experiment Smooth Threshold Autoregressive model (STAR) in order to captu...
This paper estimates Logistic Smooth Transition Autoregressive (LSTAR) models to analyze nonlinearit...
This paper develops non-linear smooth transition autoregressive (STAR) models with two additive smoo...
This paper examines possible nonlinearities in growth rates of nine U.K. macroeconomic time series, ...
textabstractThis paper surveys recent developments related to the smooth transition autoregressive [...
Travel and leisure recorded a consecutive robust growth and become among the fastest economic sector...
This study evaluates the suitability of the Smooth transition autoregressive (STAR) models specifica...
The aim of this work is describing theory of smooth transition autoregressive models, namely LSTAR a...
textabstractWe compare the forecasting performance of linear autoregressive models, autoregressive m...
This paper studies the predictive performance and in-sample dynamics of three regime switching model...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles i...
Abstract: One of the most important family of nonlinear time-series models, capable of exhibiting li...
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