Date: 2009
Type: Article
A Robust Algorithm for Parameter Estimation in Smooth Transition Autoregressive Models
Economics Letters, 2009, 103, 1, 36-38
BEKIROS, Stelios D., A Robust Algorithm for Parameter Estimation in Smooth Transition Autoregressive Models, Economics Letters, 2009, 103, 1, 36-38
- https://hdl.handle.net/1814/15170
Retrieved from Cadmus, EUI Research Repository
Finding a precise estimate for the smoothness parameter of LSTAR models is notoriously difficult. This paper introduces a robust estimation method for the transition and autoregressive parameters of STAR models, comprising gradient descent and singular value decomposition to account for heteroscedastic noise.
Cadmus permanent link: https://hdl.handle.net/1814/15170
ISSN: 0165-1765
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