Forecasting with Smooth Transition Autoregressive Models

Book chapter

Peer reviewed

Stefan Lundbergh and Timo Teräsvirta

A Companion to Economic Forecasting, pp.485-509

Blackwell Publishing Ltd

2004-01-01

Abstract

conditional maximum likelihood

estimation

modeling cycle

transition autoregressive models

misspecification tests

This chapter contains section titled: INTRODUCTION STAR MODEL FORECASTING WITH STAR MODELS EXAMPLES CONCLUSIONS

Title: Forecasting with Smooth Transition Autoregressive Models
Creators: Stefan Lundbergh - Skandia Life Insurance Company Ltd
Timo Teräsvirta - Stockholm School of Economics, Department of Entrepreneurship, Innovation and Technology (House of Innovation)
Publication Details: A Companion to Economic Forecasting, pp.485-509
Publisher: Blackwell Publishing Ltd; Malden, MA, USA
Number of pages: 25
Academic Unit: Department of Entrepreneurship, Innovation and Technology (House of Innovation)
Language: English
Resource Type: Book chapter