Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Working paper

Standard

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

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paper

Harvard

APA

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

CBE

MLA

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.

Vancouver

Author

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).

Bibtex

@techreport{331e32ddcc1f416e8b3200c667ea93f7,
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",

}

RIS

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 -