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    State-dependent threshold smooth transition autoregressive models

    Dueker, M.J. and Psaradakis, Zacharias and Sola, Martin and Spagnolo, F. (2013) State-dependent threshold smooth transition autoregressive models. Oxford Bulletin of Economics and Statistics 75 (6), pp. 835-854. ISSN 0305-9049.

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    In this article, we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent contemporaneous-threshold STAR and logistic STAR models are introduced and discussed. These models are also used to investigate the dynamics of US short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Research Centres and Institutes: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Zacharias Psaradakis
    Date Deposited: 29 May 2013 15:29
    Last Modified: 02 Aug 2023 17:04


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