Results from Smooth Transition Models
Smooth Transition Models in Price Transmission
... the results of the ...The results of the simulation of adjustment presented in Figure 4 shows that although the SR adjustment speeds for the LSTAR model suggest that negative disequilibria are eliminated ...
30
Non-linearities in exchange rate pass-through: Evidence from smooth transition models
... 6.2 Results from the STR pass-through specification Estimation results for the STR pass-through model are based on equation ...of transition variable to be include in the final non-linear ...
75
Non-linearities in exchange rate pass-through: Evidence from smooth transition models
... ERPT results in Table 1 show significant threshold inflation rate levels for most of the EA ...ranging from 1% to 3% with exception of Portugal showing c = ...of transition γ, our re- sults indicate ...
17
Panel Smooth Transition Regression Models
... different from zero for high Q ...the results of Hu and Schiantarelli (1998), who document the opposite pattern, but then their regime classification is based on multiple indicators including vari- ables ...
35
Contemporaneous threshold smooth transition GARCH models
... The results show that the bias of the ML estimator is a decreasing function of the sample ...manner from the inverse of the Hessian of the log-likelihood function evaluated at the ML ...
26
Contemporaneous-threshold smooth transition GARCH models
... The results show that the bias of the ML estimator is a decreasing function of the sample ...manner from the inverse of the Hessian of the log-likelihood function evaluated at the ML ...
25
Contemporaneous-threshold smooth transition GARCH models
... The results show that the bias of the ML estimator is a decreasing function of the sample ...manner from the inverse of the Hessian of the log-likelihood function evaluated at the ML ...
25
Smooth Transition Regression Models in UK Stock Returns
... empirical results of this paper can be summarized as follows: Acceptable STR models for UK stock market returns are estimated where the linearity hypothesis is strongly ...STR models describe the ...
27
Smooth transition from mixed to fixed effects models. LOMBARDIA, MJ, SPERLICH, Stefan Andréas
... parametric models in predicting and efficient ...that results from assum- ing this effect to be random, is only slightly larger than the variance of a fixed effect estimate based on small samples, ...
7
Three-structured smooth transition regression models based on CART algorithm
... multiplicity from repeated significance testing, we have to control the overall type I error under the risk of an overstatement of the significance of the results (more splits are reported to be significant ...
39
Symmetric Variants of Logistic Smooth Transition Autoregressive Models: Monte Carlo Evidences
... The results are presented in Tables 1 - 6 below. From Table 1 , ϕ 20 , the nonlinear component of the DGP realizes real values though the linear component is still ...of models is consistent with ...
29
Examining asymmetric effects in the South African Philips curve: Evidence from logistic smooth transition regression (LSTR) models
... empirical models, the common problem of a perverse sign on the marginal cost and the output gap variables ...estimated models. Therefore, from a policy perspective, we conclude that monetary policy ...
31
Econometric forecasting of financial assets using non linear smooth transition autoregressive models
... STAR models produce reasonably accurate results in comparison with linear alternatives, however, any additional gains achieved by non-linear framework are only marginal to the results of a random ...
344
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
... emerge from these tables. Results in Table 2 suggest, as expected, that no model or method dominates the others, and the model performing best is not the same across countries, variables and forecast ...
39
A smooth-transition model of the Australian unemployment rate
... which models the unemployment rate directly in a single-equation framework makes the as- sumption that the unemployment rate is ...time-series-based models, it is found that several macroeco- nomic ...
27
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
... insights from the LSTR1 ...LSTR models with a variety of different lags were estimated for the live cattle speculation series and variables with poor explanatory power were excluded from the final ...
20
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] ...
32
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 ...
41
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 ...
10
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 ...
44