Bec, Frédérique; Zeng, Songlin - HAL - 2012
dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 … more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or … Exponantial Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a …