Terasvirta 1994 STAR Models

[TomDoan]

This provides two worked examples from Terasvirta(1994), "Specification, Estimation and Evaluation of Smooth Transition Autoregressive Models", JASA, vol 89, pp 208-218. These use the @STARTEST procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=1456) to test for the presence of STAR effects; the results from that are also used to select the delay on the threshold variable (taking the delay that gives the largest test statistic). The models are then estimated using non-linear least squares.

This also includes an extension to the analysis in the paper to forecasting, both using simulations (to get the minimum mean square error forecasts for the non-linear model) and zero residual forecasting (which gives the "eventual forecasting function").

lynx.rpf

Lynx example

(2.88 KiB) Downloaded 114 times

ger4ind.rpf

German example

(1.7 KiB) Downloaded 100 times

lynx.dat

Data for lynx

(663 Bytes) Downloaded 82 times

ger4ind.prn

German data

(2.07 KiB) Downloaded 86 times

lynxforecast.rpf

Extension to show forecasts

(2.82 KiB) Downloaded 80 times