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Power properties of linearity test for time series

Teräsvirta, Timo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 3-10

Persistent link: https://www.econbiz.de/10001769423

Power properties of linearity test for time series

Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 3-10

Persistent link: https://www.econbiz.de/10009949695

Power Properties of Linearity Tests for Time Series

Teräsvirta, Timo - In: Studies in Nonlinear Dynamics & Econometrics 1 (1996) 1

This paper examines the power properties of several linearity tests applied in time-series analysis. The tests are the ones Lee et al.(1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results generally...

Persistent link: https://www.econbiz.de/10014620780

Modelling autoregressive processes with a shifting mean

González, Andrés; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009513641

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

Global hemispheric temperatures and co-shifting : a vector shifting-mean autoregressive analysis

Holt, Matthew T.; Teräsvirta, Timo - In: Journal of econometrics 214 (2020) 1, pp. 198-215

Persistent link: https://www.econbiz.de/10012438318

A smooth transition logit model of the effects of deregulation in the electricity market

Hurn, Stan; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of applied econometrics 31 (2016) 4, pp. 707-733

Persistent link: https://www.econbiz.de/10011645213

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 347-364

Persistent link: https://www.econbiz.de/10011649097

Forecasting macroeconomic variables using neural network models and three automated model selection techniques

Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779

Persistent link: https://www.econbiz.de/10011592391

An interview with Timo Teräsvirta

Teräsvirta, Timo (interviewee); Jawadi, Fredj (interviewer) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-5

Persistent link: https://www.econbiz.de/10011965331