STAR

[elsuarez99]

Hello, what is the best (easiest) way of performing a siple estimation of a Smooth Transition Threshold Autoregression (STAR) model?

My model is very simple, I have a time seires that is regressed onto one specific lag.

[trubador]

I am not sure whether your question is related to EViews or General Econometrics, but EViews can handle smooth transition models very efficiently. You can either estimate a nonlinear LS or build your model in LogL object. Since these are nonlinear models, supplying good initial points would be of great help.

[elsuarez99]

Thank you for your response.

I guess my question is right in between. How do you program a simple Smooth Transition Autoregressive Model in the LogL framework of Eviews?

[trubador]

Please refer to manual and search the forum for the use and specification of LogL object in EViews. You'll find plenty of examples and explanations on the subject.