Random Walk Smooth Transition Autoregressive Models


This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci…cation in which the autoregressive parameters follow random walks. The random walks in the parameters capture permanent structural change within a regime switching framework, but in contrast to the time varying STAR (TV-STAR) speci…cation introduced by… (More)


14 Figures and Tables

Slides referencing similar topics