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- W3122618191 abstract "tslstarmod performs an estimation of a logistic smooth transition autoregressive regression (LSTAR) model for time series data. This command allows estimating an endogenous structural break point in a time series data. The endogenous threshold when found is determined smoothly, contrarily to brutal transitions. In this regard, the LSTAR model can be considered as a generalization of the usual autoregressive process because the transition function is a smooth logistic function. The command allows to test the presence of an LSTAR model against a presence of a linear autoregressive model. It also handles the determination of the delay parameter. The theory behind the command tslstarmod can be found, for instance, in Terasvirta (2004) and Enders (2015)." @default.
- W3122618191 created "2021-02-01" @default.
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- W3122618191 date "2019-01-01" @default.
- W3122618191 modified "2023-09-23" @default.
- W3122618191 title "TSLSTARMOD: Stata module to estimate a Logistic Smooth Transition Autoregressive Regression (LSTAR) Model for Time Series Data" @default.
- W3122618191 hasPublicationYear "2019" @default.
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