This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regime...

This paper analyses the stock market linkages of the selected Central and Eastern European (CEE) markets (Czech Republic – PX, Hungary – BUX and Poland – WIG20) with the Western European stock market represented by the German DAX and studies also the comovement between the individual CEE countries’ stock markets. The dynamic conditional correlation (DCC) models were used to model the co-movemen...

Given the increasing importance of achieving low and stable inflation rate during the last decades, adopting the most suitable practices to implement monetary policies has always been of concern by monetary authorities of different countries. Inflation targeting (IT) regime is the most recent strategy to guide monetary policies that have been introduced following the occurrence of exchange rate...

A new semiparametric time series model is introduced – the transition (SETR) that generalizes threshold and smooth models by letting function to be of an unknown form. Estimation based on a combination (local) least squares estimations regression parameters. The asymptotic behavior for coefficient estimator SETR established, including its oracle property. Monte Carlo simulations demonstrate pro...

In this paper, we consider a flexible smooth transition autoregressive (STAR) model with multiple regimes and multiple transition variables. This formulation can be interpreted as a time varying linear model where the coefficients are the outputs of a single hidden layer feedforward neural network. This proposal has the major advantage of nesting several nonlinear models, such as, the Self-Exci...

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the proposed method. Tests available for testing the adequacy of a smooth transition autoregressive model ...

PURPOSE To determine the presence and magnitude of the photopic negative response (PhNR) component of the electroretinogram (ERG) in the mouse eye and to test if it is altered by short-term elevation of intraocular pressure (IOP). METHODS Photopic and scotopic ERGs were recorded from 12-month-old C57BL/6J mice and analyzed for photoreceptoral responses (a-wave), bipolar cell responses (b-wave...

The universal method for testing linearity against smooth transition autoregressive (STAR) alternatives is the linearization of the STAR model around the null nuisance parameter value, and performing F-tests on polynomial regressions in the spirit of the RESET test. Polynomial regressors, however, are poor proxies for the nonlinearity associated with STAR processes, and are not consistent (asym...