Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2002
nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this … model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as … not the other way around, and also that there is no common nonlinearity across the unemployment variables. …