Effects of filtering data on testing asymmetry in threshold autoregressive models
Year of publication: |
Dez 2016
|
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Authors: | Li, Jing |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 20.2016, 5, p. 549-565
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Subject: | Band Pass filter | Hodrick-Prescott filter | moving average filter | simulation | threshold autoregression | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Simulation | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Schätztheorie | Estimation theory | Zustandsraummodell | State space model |
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