Exponential and logistic smooth transition models
Symmetric Variants of Logistic Smooth Transition Autoregressive Models: Monte Carlo Evidences
... the transition function in the ...the Smooth Transition Regression (STR) framework by employing a variety of financial and macroeconomic series that are assumed to influence UK stock returns, namely ...
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Smooth Transition Models in Price Transmission
... a smooth transition between two or three pricing regimes, without imposing harsh restrictions on the manner in which agents ...an exponential transition ...
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Panel Smooth Transition Regression Models
... Keywords: financial constraints; heterogenous panel; investment; misspecification test; nonlinear modelling panel data; smooth transition models. JEL Classification Codes: C12, C23, C52, G31, G32. ∗ ...
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Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
... Now we take a closer look at how futures prices affect speculation in the live cattle futures market. Therefore we focus on the coefficient estimates presented in equation (3). The effect of ∆p t on ∆s t is positive and ...
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Contemporaneous threshold smooth transition GARCH models
... in models which are ca- pable of discriminating between periods of high and low volatility rather than between periods associated with positive and negative volatility shocks (as, for example, Medeiros and Veiga ...
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Smooth Transition Garch Models : a Baysian Perspective
... As defined by Engle and Ng (1993), the news impact curve gives the relation between ht and ut-\ holding constant the other informations. It shows how new information is incorporated to t[r] ...
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Random Walk Smooth Transition Autoregressive Models
... RW-STAR models. The RW-STAR models presented here are quite primitive, but in sample diagnostics based on standardizes residuals …nd serial correlation only in the OECD ...
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Contemporaneous-threshold smooth transition GARCH models
... threshold smooth transition autoregressive (C-STAR) models in which the mixing (or regime) weights depend on the ex ante probabilities that regime- specific latent variables exceed certain threshold ...
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Contemporaneous-threshold smooth transition GARCH models
... threshold smooth transition autoregressive (C-STAR) models in which the mixing (or regime) weights depend on the ex ante probabilities that regime- specific latent variables exceed certain threshold ...
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Examining asymmetric effects in the South African Philips curve: Evidence from logistic smooth transition regression (LSTR) models
... 22 gap based versions of the Hybrid New Keynesian Philips curve manage to produce significant fits towards the observed data. Notably, with the inclusion of asymmetric effects within the estimated empirical ...
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Solving factored MDPs with exponential-family transition models
... Markov decision processes (MDPs) with discrete and contin- uous state and action components can be solved efficiently by hybrid approximate linear programming (HALP). The main idea of the approach is to approximate the ...
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Volatility forecasting of real estate stock in Malaysia with smooth transition exponential smoothing
... Crawford and Fratantoni, 2003; Rapach and Strauss, 2007, 2009; Miles, 2008; Das, Gupta and Kabundi, 2009; Chang, 2010; Ken, 2010; Zhou, 2013; Gupta, 2013; Sing and Tan, 2013; vasilios Plakandaras, Rangan Gupta, Periklis ...
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Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model.
... of transition function parameters clearly shows the existence of nonlinearities with a consistent « c » parameter for all currencies of the ...the transition function and / or reviewing the choice of the ...
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Money-output causality revisited - a Bayesian logistic smooth transition VECM perspective
... Among them, the linear VAR, nonlinear VAR, and nonlinear VECM models implying non- Granger causality from money to output each receives 0.05%, 2.64% and 4.99% posterior model probabiliti[r] ...
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The Logistic Exponential Survival Distribution
... Correspondence to: Lawrence Leemis ([email protected]) with the arrangement of components in a coherent system. Third, finite mixtures (Everitt and Hand [8]; McLachlan and Peel [13]) can be used to blend several ...
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Smooth Transition Regression Models in UK Stock Returns
... These variables and their particular lags are chosen on the base of the accumulated evidence found in preliminary work based to general-to-specific procedure outlined before. Table 4 reports the final model selected by ...
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Testing Nonlinearity: Decision Rules for Selecting between Logistic and Exponential STAR Models.
... The second panel of Table 1 concentrates on LSTAR DGPs. Both procedures work relatively well, with TP performing marginally better. However, EJP tends to outperform TP when the nonlinearity is stronger (by stronger we ...
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Application of Smooth Transition autoregressive (STAR) models for Exchange Rate
... the models capturing the non-stationarity in real exchange rate ESTAR is considered to be the best one for exchange rate ...ESTAR models in empirical statistical analysis that are not addressed by this ...
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Linearity and misspecification tests for vector smooth transition regression models
... potential transition variable, linearity may be tested using a set of candidate ...alternative models defined by the candidate variables one by ...the transition variable that leads to the strongest ...
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Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models
... in models of this kind is testing for the presence of nonlinear adjustment with the null of ...the transition function and proposed the variable addition tests as the tests of linearity against ...
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