Details
| Original language | English |
|---|---|
| Title of host publication | Recent Advances in Estimating Nonlinear Models |
| Subtitle of host publication | With Applications in Economics and Finance |
| Publisher | Springer New York |
| Pages | 169-191 |
| Number of pages | 23 |
| Volume | 9781461480600 |
| ISBN (electronic) | 9781461480600 |
| ISBN (print) | 1461480590, 9781461480594 |
| Publication status | Published - 27 Aug 2013 |
Abstract
A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other procedures, complicated and computer-intense estimation of the candidate models is not necessary. Our approach entirely relies on OLS estimation of auxiliary regressions instead. We use standard information criteria for the selection of the unknown transition function. Our Monte Carlo simulations reveal that the approach works well in practice. Empirical applications to the S&P500 price-earnings ratio and the US interest spread highlight the merits of our suggested procedure.
Keywords
- Model selection, Nonlinearity, Smooth transition, Threshold model, Unit root
ASJC Scopus subject areas
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Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance. Vol. 9781461480600 Springer New York, 2013. p. 169-191.
Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review
}
TY - CHAP
T1 - A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
AU - Kaufmann, Hendrik
AU - Kruse, Robinson
AU - Sibbertsen, Philipp
PY - 2013/8/27
Y1 - 2013/8/27
N2 - A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other procedures, complicated and computer-intense estimation of the candidate models is not necessary. Our approach entirely relies on OLS estimation of auxiliary regressions instead. We use standard information criteria for the selection of the unknown transition function. Our Monte Carlo simulations reveal that the approach works well in practice. Empirical applications to the S&P500 price-earnings ratio and the US interest spread highlight the merits of our suggested procedure.
AB - A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other procedures, complicated and computer-intense estimation of the candidate models is not necessary. Our approach entirely relies on OLS estimation of auxiliary regressions instead. We use standard information criteria for the selection of the unknown transition function. Our Monte Carlo simulations reveal that the approach works well in practice. Empirical applications to the S&P500 price-earnings ratio and the US interest spread highlight the merits of our suggested procedure.
KW - Model selection
KW - Nonlinearity
KW - Smooth transition
KW - Threshold model
KW - Unit root
UR - http://www.scopus.com/inward/record.url?scp=84949179240&partnerID=8YFLogxK
U2 - 10.1007/978-1-4614-8060-0_9
DO - 10.1007/978-1-4614-8060-0_9
M3 - Contribution to book/anthology
AN - SCOPUS:84949179240
SN - 1461480590
SN - 9781461480594
VL - 9781461480600
SP - 169
EP - 191
BT - Recent Advances in Estimating Nonlinear Models
PB - Springer New York
ER -