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Article

Bognár, Tomáš ; Komorník, Jozef ; Komorníková, Magda
Regime-switching models of time series with cubic spline transition function in geodetic application. (English). Kybernetika, vol. 40 (2004), issue 1, pp. [143]-150
MSC: 62M10 | MR 2068603 | Zbl 1248.62144
Keywords:
time series; regime-switching autoregressive models; logistic and cubic-spline transition functions
Summary:
A new class of Smooth Transition Autoregressive models, based on cubic spline type transition functions, has been introduced and subjected to comparison with models based on the traditional logistic transition functions. A very high degree of similarity between the two model classes has been demonstrated. The new class of models can be slightly preferable because of its more simple formal and geometrical structure that may enable users more convenient manipulation in statistical inference procedures.
References:
[1] Franses P. H., Dijk D. van: Non-linear Time Series Models in Empirical Finance. Cambridge Univ. Press, Cambridge 2000
[2] Granger C. W. J., Teräsvirta T.: Modelling Nonlinear Economic Relationships. Oxford Univ. Press, Oxford 1993 Zbl 0893.90030
[3] Teräsvirta T.: Specification, estimation and evaluation of smooth transition autoregressive models. J. Amer. Statist. Assoc. 89 (1994), 208–218
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