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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
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Performance of autoregressive tree model in forecasting cancer patients
Kaur, Sukhpal; Rakshit, Madhuchanda - In: Strategic system assurance and business analytics, (pp. 187-200). 2020
Persistent link: https://www.econbiz.de/10012240951
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Real-time detection of the business cycle using SETAR models
Ferrara, Laurent; Guégan, Dominique - In: Growth and cycle in the Euro-zone, (pp. 221-232). 2006
Persistent link: https://www.econbiz.de/10003412187
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Nonlinearity, structural breaks, or outliers in economic time series?
Koop, Gary; Potter, Simon M. - In: Nonlinear econometric modeling in time series : …, (pp. 61-78). 2000
Persistent link: https://www.econbiz.de/10001532220
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Bayesian analysis of nonlinear time series models with a threshold
Lubrano, Michel - In: Nonlinear econometric modeling in time series : …, (pp. 79-118). 2000
Persistent link: https://www.econbiz.de/10001532222
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Nonlinear tools for analyzing and forecasting financial time series : an application to US interest rates
Wesner, Nicolas - In: International finance and monetary policy, (pp. 157-186). 2006
Persistent link: https://www.econbiz.de/10003459477
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Modelling asymmetrie cointegration and dynamic multipliers in a nonlinear ARDL framework
Shin, Yongcheol; Yu, Byungchul; Greenwood-Nimmo, Matthew - In: Festschrift in honor of Peter Schmidt : econometric …, (pp. 281-314). 2014
Persistent link: https://www.econbiz.de/10011559038
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Time series mean level and stochastic volatility modeling by smooth transition autoregressions : a Bayesian approach
Lopes, Hedibert Freitas; Salazar, Esther - 2006
Persistent link: https://www.econbiz.de/10003350097
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A specification test based on convolution-type distribution function estimates for non-linear autoregressive processes
Kim, Kun Ho; Koul, Hira L.; Kim, Jiwoong - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 187-206). 2023
Persistent link: https://www.econbiz.de/10014313667
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Application of feed-forward neural networks smoothing transition autoregressive models in stock returns forecasting
Giovanis, Eleftherios - In: Computational optimization in economics and finance …, (pp. 27-47). 2013
Persistent link: https://www.econbiz.de/10009734441