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Choosing lag lenghts in nonlinear dynamic models

Anderson, Heather M. - In: Contemporary issues in economics and econometrics : …, (pp. 176-204). 2004

Persistent link: https://www.econbiz.de/10002544751

Choosing lag lengths in nonlinear dynamic models

Anderson, Heather M. - 2002

Persistent link: https://www.econbiz.de/10001722429

Random walk smooth transition autoregressive models

Anderson, Heather M.; Low, Chin Nam - In: Nonlinear time series analysis of business cycles, (pp. 247-281). 2006

This paper extends the family of smooth transition autoregressive (STAR) models by proposing a speci.cation in which the autoregressive parameters follow random walks. The random walks in the parameters capture permanent structural change within a regime switching framework, but in contrast to...

Persistent link: https://www.econbiz.de/10003309371

Nonlinear autoregressive leading indicator models of output in G-7 countries

Anderson, Heather M.; Athanasopoulos, George; Vahid, Farshid - In: Journal of applied econometrics 22 (2007) 1, pp. 63-87

Persistent link: https://www.econbiz.de/10003448509

Common nonlinearities in multiple series of stock market volatility

Anderson, Heather M.; Vahid, Farshid - In: Essays in nonlinear time series econometrics, (pp. 93-117). 2014

Persistent link: https://www.econbiz.de/10010385313

Does beta react to market conditions? : Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter

Woodward, G. Thomas; Anderson, Heather M. - 2003

Persistent link: https://www.econbiz.de/10001854374

Predicting the probability of a recession with nonlinear autoregressive leading indicator models

Anderson, Heather M.; Vahid, Farshid - 2000

Persistent link: https://www.econbiz.de/10001479234