Template-Type: ReDIF-Paper 1.0
Author-Name: Oscar Jorda
Author-Name-First: Oscar
Author-Name-Last: Jorda
Author-Workplace-Name: Department of Economics, University of California Davis
Title: Decision Rules for Selecting between Exponential and Logistic STAR
Abstract: A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. This procedure has better consistency and power properties than that previously available in the literature. Monte-Carlo simulations and empirical evidence are provided in support of our claims.
Length: 15
File-URL: https://repec.dss.ucdavis.edu/files/YH5WLGKyiByp5G7BGNP7Tiq8/06-11.pdf
File-Format: application/pdf
Number: 207
Classification-JEL: C12, C22
KeyWords: STAR, expontenial
Creation-Date: 19980131
Handle: RePEc:cda:wpaper:207