Showing 1 - 2 of 2
In this article, we analyze the US short term real interest rate series for the last five decades in the framework of a M-SETAR model (Momentum - Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use threshold...
Persistent link: https://www.econbiz.de/10008528500