Essays in nonlinear time series analysis

This paper introduces a variant of the smooth transition autoregression (STAR). The proposed model is able to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. The null hypothesis of symmetric adjustment toward a new regime is tested by building two different LM-type tests. The first one maintains the original parametrization, while the second one is based on a third-order expanded auxiliary regression. Three diagnostic tests for no error autocorrelation, no additive asymmetry and parameter constancy are also discussed. The empirical size and power of the new symmetry as well as diagnostic tests are investigated by an extensive Monte Carlo experiment. An empirical application of the so generalized STAR (GSTAR) model to four economic time series reveals that the asymmetry in the transition between two regimes is a feature to be considered for economic analysi