Thresholds and Smooth Transitions in Vector Autoregressive Models
Year of publication: |
2013-06-06
|
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Authors: | Hubrich, Kirstin ; Teräsvirta, Timo |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | common nonlinearity | impulse response analysis | linearity testing | multivariate nonlinear model | nonlinear cointegration | threshold estimation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 5 pages long |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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