Smooth transition regression Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Granger and Terasvirta (1993) introduced the STR framework and the specification cycle (test, specify, estimate, evaluate).

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2. [S2] Reference

   Terasvirta (1994) developed the LM-type linearity test based on Taylor expansion and the LSTAR vs ESTAR selection procedure.

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3. [S3] Reference

   Luukkonen, Saikkonen, and Terasvirta (1988) provided the theoretical foundation for testing linearity against STR alternatives.

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4. [S4] Reference

   van Dijk, Terasvirta, and Franses (2002) surveyed the STR literature and provided guidelines for practical implementation.

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5. [S5] Reference

   Eitrheim and Terasvirta (1996) developed misspecification tests for estimated STR models (no remaining nonlinearity, no ARCH, parameter constancy).

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6. [S6] Reference

   Michael, Nobay, and Peel (1997) applied ESTAR to real exchange rates and PPP, establishing the transaction-cost interpretation.

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7. [S7] Reference

   Gonzalez, Terasvirta, and van Dijk (2005) extended the framework to panel data with heterogeneous transition parameters.

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