Department of Economics and Business Economics

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

T3 - CREATES Research Papers

BT - Thresholds and Smooth Transitions in Vector Autoregressive Models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -