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Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
CREATES, Aarhus University.ORCID iD: 0000-0002-0947-2114
CREATES, Aarhus University; CORE, Université catholique de Louvain.ORCID iD: 0000-0002-2623-8549
2014 (English)Report (Other academic)
Abstract [en]

We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of specification, including testing linearity, estimation and evaluation of these models is constructed. Nonlinear least squares estimation of the parameters of the model is discussed. Evaluation by misspecification tests is carried out using tests derived in a companion paper. The use of the modelling strategy is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists and time series analysts.

Place, publisher, year, edition, pages
2014. , p. 44
Series
CREATES research paper / CREATES, Aarhus University ; 2014-08
Keywords [en]
Vector STAR model; Modelling nonlinearity; Vector autoregression; Generalized impulse response; Asymmetry; Oil price; River flow
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-371955OAI: oai:DiVA.org:uu-371955DiVA, id: diva2:1274968
Funder
Danish National Research Foundation, DNFR78Available from: 2019-01-03 Created: 2019-01-03 Last updated: 2019-01-04Bibliographically approved

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Output format
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