Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10005285745
This paper is motivated by recent evidence that many univariate economic and financial time series have both nonlinear and long memory characteristics. Hence, this paper considers a general nonlinear, smooth transition regime autoregression which is embedded within a strongly dependent, long...
Persistent link: https://www.econbiz.de/10005192803
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10010709441
This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s distinguishing characteristic is that a given agent’s behaviour is influenced by an aggregation of the views or actions of those around...
Persistent link: https://www.econbiz.de/10011052336
Persistent link: https://www.econbiz.de/10005228938