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 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").

STAR (and "sharp" threshold TAR) models are covered as part of the Structural Breaks and Switching Models course. The RATS Programming Manual also devotes a large part of Chapter 3 to STAR models.

lynx.rpf

Lynx example

(2.88 KiB) Downloaded 1682 times

ger4ind.rpf

German example

(1.7 KiB) Downloaded 1622 times

lynx.dat

Data for lynx

(663 Bytes) Downloaded 1523 times

ger4ind.prn

German data

(2.07 KiB) Downloaded 1459 times

lynxforecast.rpf

Extension to show forecasts

(2.82 KiB) Downloaded 1585 times

[bb_poimot]

May I ask whether winrats provides the code for Lin & Terasvirta (1994) Testing the constancy of regression parameters against continuous structural change, Journal of Econometrics, 62 (1994), pp. 211-228? thanks a lot

[TomDoan]

That appears to be just a repackaging of @RegSTRTest with time as the transition variable.