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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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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
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Spatial autoregressive nonlinear models in R with an empirical application in labour economics
Billé, Anna Gloria - In: Handbook of research methods and applications in …, (pp. 23-41). 2021
Persistent link: https://www.econbiz.de/10013165889
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Comparative study on the use of statistical methods for the distribution of autocorrelation to any influence factor
Merce, Cristian; Drăghici, Manea; Merce, Emilian; … - In: Agrarian economy and rural development : realities and …, (pp. 58-63). 2019
based on the principle of proportional distribution of autocorrelation with the coefficients of simple determination, and …
Persistent link: https://www.econbiz.de/10012212443
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Asymmetrical effects of expected inflation on stock returns
Kolluri, Bharat R.; Wahab, Mamoud S. - 2007
Persistent link: https://www.econbiz.de/10003753443
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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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Limit theory for moderate deviations from a unit root under weak dependence
Phillips, Peter C. B.; Magdalinos, Tassos - In: The refinement of econometric estimation and test …, (pp. 123-162). 2007
Persistent link: https://www.econbiz.de/10003461842
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The autocorrelation functions in SETARMA models
Amendola, Alessandra; Niglio, Marcella; Vitale, Cosimo - In: Optimisation, econometric and financial analysis, (pp. 127-141). 2007
Persistent link: https://www.econbiz.de/10003544747