Department of Economics and Business Economics

Timo Teräsvirta

Thresholds and Smooth Transitions in Vector Autoregressive Models

Research output: Working paperResearch

Standard

Thresholds and Smooth Transitions in Vector Autoregressive Models. / Hubrich, Kirstin; Teräsvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Research output: Working paperResearch

Harvard

Hubrich, K & Teräsvirta, T 2013 'Thresholds and Smooth Transitions in Vector Autoregressive Models' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Hubrich, K., & Teräsvirta, T. (2013). Thresholds and Smooth Transitions in Vector Autoregressive Models. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2013-18

CBE

Hubrich K, Teräsvirta T. 2013. Thresholds and Smooth Transitions in Vector Autoregressive Models. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Hubrich, Kirstin and Timo Teräsvirta Thresholds and Smooth Transitions in Vector Autoregressive Models. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2013-18). 2013., 54 p.

Vancouver

Hubrich K, Teräsvirta T. Thresholds and Smooth Transitions in Vector Autoregressive Models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2013 Jun 10.

Author

Hubrich, Kirstin ; Teräsvirta, Timo. / Thresholds and Smooth Transitions in Vector Autoregressive Models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; No. 2013-18).

Bibtex

@techreport{6e214b8d170c4bb598b70a290ab5709c,
title = "Thresholds and Smooth Transitions in Vector Autoregressive Models",
abstract = "This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.",
keywords = "common nonlinearity, impulse response analysis, linearity testing, multivariate nonlinear model, nonlinear cointegration, threshold estimation",
author = "Kirstin Hubrich and Timo Ter{\"a}svirta",
year = "2013",
month = "6",
day = "10",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Thresholds and Smooth Transitions in Vector Autoregressive Models

AU - Hubrich,Kirstin

AU - Teräsvirta,Timo

PY - 2013/6/10

Y1 - 2013/6/10

N2 - This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

AB - This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

KW - common nonlinearity, impulse response analysis, linearity testing, multivariate nonlinear model, nonlinear cointegration, threshold estimation

M3 - Working paper

BT - Thresholds and Smooth Transitions in Vector Autoregressive Models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -