Smooth Transition Models

Stockholm School of Economics, Working Paper Series in Economics and Finance, No 132

Posted: 21 Jan 1997

See all articles by Timo Teräsvirta

Timo Teräsvirta

Stockholm School of Economics - Department of Economics

Date Written: November 1996

Abstract

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate application of smooth transition models to testing Granger noncausality between variables is presented using two long Swedish macroeconomic time series.

JEL Classification: C22, C50

Suggested Citation

Teräsvirta, Timo, Smooth Transition Models (November 1996). Stockholm School of Economics, Working Paper Series in Economics and Finance, No 132, Available at SSRN: https://ssrn.com/abstract=4574

Timo Teräsvirta (Contact Author)

Stockholm School of Economics - Department of Economics ( email )

P.O. Box 6501
Sveavagen 65
S-113 83 Stockholm
Sweden

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