A Portmanteau Test for Smooth Transition Autoregressive Models

Qiang Xia; Zhiqiang Zhang; Wai Keung Li

doi:10.1111/jtsa.12512

A Portmanteau Test for Smooth Transition Autoregressive Models

Journal of Time Series Analysis ◽

10.1111/jtsa.12512 ◽

2019 ◽

Vol 41 (5) ◽

pp. 722-730

Author(s):

Qiang Xia ◽

Zhiqiang Zhang ◽

Wai Keung Li

Keyword(s):

Autoregressive Models ◽

Smooth Transition ◽

Smooth Transition Autoregressive

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Smooth-transition autoregressive models for time series of bounded counts

Stochastic Models ◽

10.1080/15326349.2021.1945934 ◽

2021 ◽

pp. 1-21

Author(s):

Simon Nik ◽

Christian H. Weiß

Keyword(s):

Time Series ◽

Autoregressive Models ◽

Smooth Transition ◽

Smooth Transition Autoregressive

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Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2762523 ◽

2016 ◽

Cited By ~ 1

Author(s):

Daniel Buncic

Keyword(s):

Autoregressive Models ◽

Smooth Transition ◽

Smooth Transition Autoregressive

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The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models

Energy Economics ◽

10.1016/j.eneco.2019.104540 ◽

2019 ◽

Vol 84 ◽

pp. 104540 ◽

Cited By ~ 5

Author(s):

Efe Caglar Cagli ◽

Dilvin Taskin ◽

Pınar Evrim Mandaci

Keyword(s):

Precious Metals ◽

Autoregressive Models ◽

Smooth Transition ◽

Base Metals ◽

Long Run ◽

Smooth Transition Autoregressive

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A robust algorithm for parameter estimation in smooth transition autoregressive models

Economics Letters ◽

10.1016/j.econlet.2009.01.020 ◽

2009 ◽

Vol 103 (1) ◽

pp. 36-38 ◽

Cited By ~ 4

Author(s):

Stelios D. Bekiros

Keyword(s):

Parameter Estimation ◽

Autoregressive Models ◽

Smooth Transition ◽

Robust Algorithm ◽

Smooth Transition Autoregressive

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Robust Tests Against Smooth Transition Autoregressive Models

Journal of Statistical Computation and Simulation ◽

10.1080/00949650212142 ◽

2002 ◽

Vol 72 (2) ◽

pp. 167-178

Author(s):

A. B. M. Rabiul Alam Beg ◽

Mervyn Joseph Silvapulle ◽

Paramsothy Silvapulle

Keyword(s):

Autoregressive Models ◽

Smooth Transition ◽

Robust Tests ◽

Smooth Transition Autoregressive

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Smooth transition autoregressive models and fuzzy rule-based systems: Functional equivalence and consequences

Fuzzy Sets and Systems ◽

10.1016/j.fss.2007.03.021 ◽

2007 ◽

Vol 158 (24) ◽

pp. 2734-2745 ◽

Cited By ~ 23

Author(s):

José Luis Aznarte M. ◽

José Manuel Benítez ◽

Juan Luis Castro

Keyword(s):

Fuzzy Rule ◽

Autoregressive Models ◽

Smooth Transition ◽

Functional Equivalence ◽

Rule Based ◽

Smooth Transition Autoregressive ◽

Rule Based Systems

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Characterizing nonlinearities in business cycles using smooth transition autoregressive models

Journal of Applied Econometrics ◽

10.1002/jae.3950070509 ◽

1992 ◽

Vol 7 (S1) ◽

pp. S119-S136 ◽

Cited By ~ 438

Author(s):

T. Terasvirta ◽

H. M. Anderson

Keyword(s):

Business Cycles ◽

Autoregressive Models ◽

Smooth Transition ◽

Smooth Transition Autoregressive

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THE INF-TTEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS

Japanese Economic Review ◽

10.1111/jere.12005 ◽

2013 ◽

Vol 64 (1) ◽

pp. 3-15 ◽

Cited By ~ 5

Author(s):

Mototsugu Shintani

Keyword(s):

Unit Root ◽

Autoregressive Models ◽

Smooth Transition ◽

Smooth Transition Autoregressive

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Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes

Applied Economics ◽

10.1080/00036840701604552 ◽

2010 ◽

Vol 42 (4) ◽

pp. 489-496 ◽

Cited By ~ 6

Author(s):

Gawon Yoon

Keyword(s):

Purchasing Power Parity ◽

Unit Root ◽

Mean Reversion ◽

Autoregressive Models ◽

Smooth Transition ◽

Purchasing Power ◽

Power Parity ◽

Nonlinear Mean Reversion ◽

Smooth Transition Autoregressive

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State-Dependent Threshold Smooth Transition Autoregressive Models*

Oxford Bulletin of Economics and Statistics ◽

10.1111/j.1468-0084.2012.00719.x ◽

2012 ◽

Vol 75 (6) ◽

pp. 835-854 ◽

Cited By ~ 7

Author(s):

Michael J. Dueker ◽

Zacharias Psaradakis ◽

Martin Sola ◽

Fabio Spagnolo

Keyword(s):

Autoregressive Models ◽

Smooth Transition ◽

State Dependent ◽

Smooth Transition Autoregressive

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