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Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2005
of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular …
Persistent link: https://www.econbiz.de/10011933956
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10010837896
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Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008765700
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Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008774524
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008800914
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011858424
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011865378
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Specification Testing in Nonlinear Time Series with Long-Range Dependence
GAO, Jiti; Wang, Qiying; Yin, Jiying - School of Economics, University of Adelaide - 2009
This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence. An asymptotically normal test is established even when long–range dependence is involved. In order to...
Persistent link: https://www.econbiz.de/10008462872
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On the regime-switching and asymmetric dynamics of economic growth in the OECD countries
Singh, Tarlok - In: Research in economics : an international review of economics 68 (2014) 2, pp. 169-192
Persistent link: https://www.econbiz.de/10010465650
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On the regime-switching and asymmetric dynamics of economic growth in the OECD countries
Singh, Tarlok - In: Research in Economics 68 (2014) 2, pp. 169-192
This study estimates the SETAR and STAR models and examines the regime-switching and asymmetric dynamics of economic … hypothesis of linearity against the alternative hypothesis of threshold nonlinearity for all the sample countries. The STAR model … reinforces the evidence and rejects the null hypothesis of linearity against STAR nonlinearity for all the sample countries …
Persistent link: https://www.econbiz.de/10010777137