This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...

In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate dynamic mixture autoregression which allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold...

In this paper we propose and analyse the Autoregressive Conditional Root (ACR) timeseries model, which allows for endogenously generated regime switching between seemingly stationaryand non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models suchas e.g. the...