Carvalho, Alexandre; Skoulakis, Georgios - In: Econometric Reviews 29 (2010) 5-6, pp. 642-687
We propose and analyze a new nonlinear time series model based on local mixtures of linear regressions, referred to as experts, with thick-tailed disturbances. The mean function of each expert is an affine function of covariates that may include lags of the dependent variable and/or lags of...