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Nonlinear modelling of autoregressive structural breaks in some US macroeconomic series
Kapetanios, George; Tzavalis, Elias - In: Nonlinear time series analysis of business cycles, (pp. 175-198). 2006
Persistent link: https://www.econbiz.de/10003309355
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Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - 2009
Persistent link: https://www.econbiz.de/10003935353
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052
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Forecasting nonlinear aggregates and aggregates with time-varying weights
Lütkepohl, Helmut - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10008902887
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Sup-tests for linearity in a general nonlinear AR(1) model
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Econometric theory 26 (2010) 4, pp. 965-993
Persistent link: https://www.econbiz.de/10003993816
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Do monetary policy shocks generate TAR or STAR dynamics in output?
Donayre, Luiggi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 227-247
Persistent link: https://www.econbiz.de/10011313585
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Testing for neglected nonlineary using twofold unidentified models unter the null and hexic expansions
Cho, Jin Seo; Ishida, Isao; White, Halbert - In: Essays in nonlinear time series econometrics, (pp. 3-27). 2014
Persistent link: https://www.econbiz.de/10010385316
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The influence of additive outliers on the performance of information criteria to detect nonlinearity
Rinke, Saskia - 2016
In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...
Persistent link: https://www.econbiz.de/10011488709
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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Essays on nonlinear panel time series models
Mesters, Geert - 2015
Persistent link: https://www.econbiz.de/10010461080