Terasvirta 1994 STAR Models
Posted: Mon Aug 20, 2012 11:04 amThis 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").
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
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- ger4ind.rpf
- German example
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- lynx.dat
- Data for lynx
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- ger4ind.prn
- German data
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- lynxforecast.rpf
- Extension to show forecasts
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