Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408097 | International Journal of Forecasting | 2018 | 22 Pages |
Abstract
The generalized smooth transition autoregression (GSTAR) parametrizes the joint asymmetry in the duration and length of cycles in macroeconomic time series by using particular generalizations of the logistic function. The symmetric smooth transition and linear autoregressions are nested in the GSTAR. A test for the null hypothesis of dynamic symmetry is presented. Two case studies indicate that dynamic asymmetry is a key feature of the U.S. economy. The GSTAR model beats its competitors for point forecasting, but this superiority becomes less evident for density forecasting and in uncertain forecasting environments.
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Authors
Emilio Zanetti Chini,