SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants, putting emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting.

Abstract

This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model, which concern multiple regimes, time-varying non-linear properties, and models for vector time series, are also reviewed.