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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10009751844
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Global hemispheric temperature trends and co–shifting : a shifting mean vector autoregressive analysis
Holt, Matthew T.; Teräsvirta, Timo - 2012
Persistent link: https://www.econbiz.de/10009785773
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Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo; Yang, Yukai - 2014
Persistent link: https://www.econbiz.de/10010336592
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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - In: VAR models in macroeconomics - new developments and …, (pp. 273-326). 2013
Persistent link: https://www.econbiz.de/10010252324
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Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo; Yang, Yukai - 2014
Persistent link: https://www.econbiz.de/10010484181
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Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo; Yang, Yukai - 2014
Persistent link: https://www.econbiz.de/10010484182
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Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli; Teräsvirta, Timo; González, Andrés - In: Econometric reviews 28 (2009) 1/3, pp. 225-245
Persistent link: https://www.econbiz.de/10003800734
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Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli (contributor); Teräsvirta, Timo (contributor);  … - 2002 - [Elektronische Ressource], Rev. July 11, 2005
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...
Persistent link: https://www.econbiz.de/10001693105
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821325
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Global hemispheric temperatures and co-shifting : a vector shifting-mean autoregressive analysis
Holt, Matthew T.; Teräsvirta, Timo - In: Journal of econometrics 214 (2020) 1, pp. 198-215
Persistent link: https://www.econbiz.de/10012438318