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In this paper, we propose a new class of regime shift models with exible switching mechanism that relies on a nonparametric probability function of the observed thresh- old variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...
Persistent link: https://www.econbiz.de/10012433169
In the work a characterization of difference of multivariate Gaussian measures is found on the family of centered Eucledian balls. In particular, it helps to derive (xx see paper).
Persistent link: https://www.econbiz.de/10012433177
IV regression in the context of a re-sampling is considered in the work. Comparatively, the contribution in the development is a structural identication in the IV model. The work also contains a multiplier-bootstrap justication.
Persistent link: https://www.econbiz.de/10012433180
In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...
Persistent link: https://www.econbiz.de/10012433197