We derive asymptotic properties of the quasi maximum likelihood estimator of smooth transition regressions when time is the transition variable. The consistency of the estimator and its asymptotic distribution are examined. It is shown that the estimator converges at the usual square-root-of-T rate and has an asymptotically normal distribution. Finite sample properties of the estimator are explored in simulations. We illustrate with an application to US inflation and output data.
Originalsprog
Engelsk
Udgivelsessted
Aarhus
Udgiver
Institut for Økonomi, Aarhus Universitet
Antal sider
31
Status
Udgivet - 2 jul. 2012
Serietitel
CREATES Research Papers
Nummer
2012-31
Forskningsområder
Regime switching, smooth transition regression, asymptotic theory
