Modelling autoregressive processes with a shifting mean
Year of publication: |
2006-09-27
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Authors: | González, Andrés ; Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | deterministic shift | nonlinear autoregression | nonstationarity | nonlinear trend | smooth transition | structural change |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | This is the revised (May 2007) version of the paper. Published in Studies in Nonlinear Dynamics and Econometrics, 2008. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 637 26 pages |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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Modelling autoregressive processes with a shifting mean
Terasvirta, Timo, (2006)
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Modelling autoregressive processes with a shifting mean
Terasvirta, Timo,
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Modelling Autoregressive Processes with a Shifting Mean
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