User’s Guide : Advanced Single Equation Analysis : Smooth Transition Regression : References
Eitrheim, Øyvind and Timo Teräsvirta (1996). “Testing the Adequacy of Smooth Transition Autoregressive Models,” Journal of Econometrics, 74, 59–75.
Escribano, Álvaro and Oscar Jordá (1999). “Improved Testing and Specification of Smooth Transition Regression Models, in Nonlinear Time Series Analysis of Economic and Financial Data, Rothman, P., ed. ,Klewer: Boston. 289–319.
Leybourne, S., P. Newbold, and D. Vougas (1998). Unit roots and smooth transitions, Journal of Time Series Analysis, 19, 83–97.
Lin, Chien-Fu Jeff and Timo Teräsvirta (1994). “Testing the Constancy of Regression Parameters Against Continuous Structural Change,” Journal of Econometrics, 62, 211–228.
Luukkonen, Ritva, Pentti Saikkonen, and Timo Teräsvirta (1988). Testing Linearity Against Smooth Transition Autoregressive Models,” Biometrika, 75, 491–499.
Martin, Vance, Stan Hurn, and David Harris (2013). Econometric Modelling with Time Series. New York: Cambridge University Press.
Teräsvirta, Timo (1994). “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, 89, 208–218.
van Dijk, Dick, and Philip Hans Franses (1999). “Modeling Multiple Regimes in the Business Cycle,” Macroeconomic Dynamics, 3, 311–340.
van Dijk, Dick and Timo Teräsvirta, and Philip Hans Franses (2002). “Smooth Transition Autoregressive Models—A Survey of Recent Developments,” Econometric Reviews, 21, 1–47.