SPECIFICATION, ESTIMATION, AND EVALUATION OF SMOOTH TRANSITION AUTOREGRESSIVE MODELS

This article considers the application of two families of nonlinear au toregressive models, the logistic (LSTAR) and exponential (ESTAR) auto regressive models. This includes the specification of the model based on simple statistical tests: linearity testing against smooth transiti on autoregression. determining the delay parameter and choosing betwee n LSTAR and ESTAR models are discussed. Estimation by nonlinear least squares is considered as well as evaluating the properties of the esti mated model. The proposed techniques are illustrated by examples using both simulated and real time series.