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Vector Logistic Smooth Transition Models Estimation and Prediction
v1.1.11
·
Jan 26, 2026
·
GPL
Description
Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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1.1.11
Mar 9, 2026