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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Testing for a unit root in a nonlinear quantile autoregression framework
Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892
Persistent link: https://www.econbiz.de/10012040418
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Nonlinearity and smoothing in venture capital performance data
McKenzie, Michael D.; Satchell, Stephen; Wongwachara, … - In: Journal of empirical finance 19 (2012) 5, pp. 782-795
Persistent link: https://www.econbiz.de/10009700590
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Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - 1999
Persistent link: https://www.econbiz.de/10001398335
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Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - In: The econometrics journal 4 (2001) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10001612280
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Generalized autoregressive method of moments
Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015
We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a … approach is completely observation driven, rendering estimation and inference straightforward. It provides a unified framework …
Persistent link: https://www.econbiz.de/10011431471
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Threshold autoregressive models for interval-valued time series data
Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446
Persistent link: https://www.econbiz.de/10012110403
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Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
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Modelling economic high-frequency time series
Lundbergh, Stefan; Teräsvirta, Timo - 1999
and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and … distribution theory. We illustrate the actual modelling byapplying the STAR-STGARCH model family to two series of dailyobservations …
Persistent link: https://www.econbiz.de/10011300552
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Linear double autoregression
Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174
Persistent link: https://www.econbiz.de/10012116135