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STAR model

About: STAR model is a research topic. Over the lifetime, 2661 publications have been published within this topic receiving 101945 citations.


Papers
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Journal ArticleDOI
TL;DR: In this article, a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM-type tests for the hypotheses of no remaining nonlinearity and that of parameter constancy are proposed.

596 citations

Journal ArticleDOI
TL;DR: In this article, the authors provide sufficient conditions for β-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH (p,q), stochastic volatility, and autoregressive conditional duration models.
Abstract: This paper first provides some useful results on a generalized random coefficient autoregressive model and a generalized hidden Markov model. These results simultaneously imply strict stationarity, existence of higher order moments, geometric ergodicity, and β-mixing with exponential decay rates, which are important properties for statistical inference. As applications, we then provide easy-to-verify sufficient conditions to ensure β-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH(p,q), stochastic volatility, and autoregressive conditional duration models. For many of these models, our sufficient conditions for existence of second moments and exponential β-mixing are also necessary. For several GARCH(1,1) models, our sufficient conditions for existence of higher order moments again coincide with the necessary ones in He and Terasvirta (1999, Journal of Econometrics 92, 173–192).

596 citations

Journal ArticleDOI
TL;DR: In this article, the problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied by introducing smoothness into the model, sampling properties of the conditional least-squares estimate may be obtained Artificial and real data are used for illustrations
Abstract: The problem of estimating the threshold parameter, ie, the change point, of a threshold autoregressive model is studied By introducing smoothness into the model, sampling properties of the conditional least-squares estimate may be obtained Artificial and real data are used for illustrations

584 citations

Journal ArticleDOI
TL;DR: In this article, the authors proposed a nonparametric spectrum factorization method for time series, where the model is formulated explicitly in terms of the spectral density function, and may also be viewed as a spectrum factorisation method.
Abstract: SUMMARY Existing procedures for obtaining linear prediction formulae for time series may be placed in two categories. The first consists of methods which involve fitting parametric models of the autoregressive or autoregressive moving average type. The second involves the factorization of an estimated spectral density function; this is essentially a nonparametric procedure. The procedure suggested in this paper contains elements of both of the above. Formally, it involves fitting a model with a finite number of parameters. However, the model is formulated explicitly in terms of the spectral density function, and may also be viewed as a spectrum factorization method. The model has been fitted to various series considered by other authors, and the quality of the fit is compared with that obtained with conventional models using the same number of parameters. Asymptotie properties of the parameter estimates have been used to assess the nonparametric spectrum factorization techniques proposed by other authors.

580 citations

Journal ArticleDOI
TL;DR: In this article, a Bayesian extension of the minimum AIC procedure is proposed for the fitting of autoregressive models and the practical utility of the procedure is demonstrated by numerical examples.
Abstract: SUMMARY The proposal of simultaneous use of modified AIC statistics by Bhansali & Downham for the fitting of autoregressive models is reviewed and a Bayesian extension of the minimum AIC procedure is proposed. The practical utility of the procedure is demonstrated by numerical examples.

579 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20244
202350
202294
20218
20206
201910