Thresholds and Smooth Transitions in Vector Autoregressive Models ^☆

The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Central Bank.

Abstract

This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression (VSTR) 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 VTR and VSTR models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

Citation

Hubrich, K. and Teräsvirta, T. (2013), "Thresholds and Smooth Transitions in Vector Autoregressive Models ^☆

The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Central Bank.

", VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Advances in Econometrics, Vol. 32), Emerald Group Publishing Limited, Leeds, pp. 273-326. https://doi.org/10.1108/S0731-9053(2013)0000031008