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SMOOTH TRANSITION AUTOREGRESSIVE MODELS : A STUDY OF THE INDUSTRIAL PRODUCTION INDEX OF SWEDEN

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-126752
Date January 2010
CreatorsZhou, Jia
PublisherUppsala universitet, Statistiska institutionen
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/masterThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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