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SMOOTH TRANSITION AUTOREGRESSIVE MODELS: A STUDY OF THE INDUSTRIAL PRODUCTION INDEX OF SWEDEN
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2010 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this paper, we study the industrial production index of Sweden from Jan, 2000 to latest Feb, 2010. We find out there is a structural break at time point Dec, 2007, when the global financial crisis burst out first in U.S then spread to Europe. To model the industrial production index, one of the business cycle indicators which may behave nonlinear feature suggests utilizing a smooth transition autoregressive (STAR) model. Following the procedures given by Teräsvirta (1994), we carry out the linearity test against the STAR model, determine the delay parameter and choose between the LSTAR model and the ESTAR model. The results from the estimated model suggest the STAR model is better performing than the linear autoregressive model.

Place, publisher, year, edition, pages
2010. , p. 22
Keywords [en]
Smooth transition autoregressive, Nonlinear time series, Linearity test
Identifiers
URN: urn:nbn:se:uu:diva-126752OAI: oai:DiVA.org:uu-126752DiVA, id: diva2:326676
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2010-06-28 Created: 2010-06-23 Last updated: 2010-06-28Bibliographically approved

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CiteExportLink to record
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