Restriction in STAR Models

2010-08-24
2013-04-30
  • brayan rojas
    brayan rojas
    2010-08-24

    I have a LSTAR model but I want to restrict the model in a linear part and nonlinear part, for example, I have a model with AR(13) and transition variable  Y(t-2), in a linear part only AR(1) y AR(12) are significatly and in a nonlinear part AR(1) and AR(8) but i don´t restricted this model.

    Anyone know how do this?

    Thanks

    Ricardo