Research output: Working paper › Research

**Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications.** / Teräsvirta, Timo; Yang, Yukai.

Research output: Working paper › Research

Teräsvirta, T & Yang, Y 2014 'Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications' Institut for Økonomi, Aarhus Universitet, Aarhus.

Teräsvirta, T., & Yang, Y. (2014). *Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications*. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2014-08

Teräsvirta T, Yang Y. 2014. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. Aarhus: Institut for Økonomi, Aarhus Universitet.

Teräsvirta, Timo and Yukai Yang *Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications*. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-08). 2014., 44 p.

Teräsvirta T, Yang Y. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Mar 28.

Teräsvirta, Timo ; Yang, Yukai. / **Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications**. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-08).

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title = "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications",

abstract = "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.",

keywords = "Vector STAR model, Modelling nonlinearity, Vector autoregression, Generalized impulse response, Asymmetry, Oil price River flow",

author = "Timo Ter{\"a}svirta and Yukai Yang",

year = "2014",

month = "3",

day = "28",

language = "English",

publisher = "Institut for {\O}konomi, Aarhus Universitet",

type = "WorkingPaper",

institution = "Institut for {\O}konomi, Aarhus Universitet",

}

TY - UNPB

T1 - Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

AU - Teräsvirta, Timo

AU - Yang, Yukai

PY - 2014/3/28

Y1 - 2014/3/28

N2 - 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.

AB - 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.

KW - Vector STAR model, Modelling nonlinearity, Vector autoregression, Generalized impulse response, Asymmetry, Oil price River flow

M3 - Working paper

BT - Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -