Smooth Transition Models
Stockholm School of Economics, Working Paper Series in Economics and Finance, No 132
Posted: 21 Jan 1997
Date Written: November 1996
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: Suggested Citation