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Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions
Strikholm, Birgit (contributor);  … - 2005 - [Elektronische Ressource], Rev. February 11, 2005
; model selection criterion ; nonlinear modelling ; sequential testing ; switching regression …
Persistent link: https://www.econbiz.de/10002535492
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Testing parameter constancy in unit root autoregressive models against continuous change
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10002570513
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Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli (contributor); Teräsvirta, Timo (contributor);  … - 2002 - [Elektronische Ressource], Rev. July 11, 2005
that of generalized Chow-tests and found satisfactory in terms of both size and power. -- econometric modelling …
Persistent link: https://www.econbiz.de/10001693105