A robust test for threshold-type nonlinearity in multivariate time series analysis
Year of publication: |
2015
|
---|---|
Authors: | Chan, Wai-Sum ; Cheung, Siu-hung ; Chow, Wai Kit ; Zhang, Li-Xin |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 6, p. 441-454
|
Subject: | nonlinear time series | outliers | macroeconomic forecasting | robustness | vector autoregression models | Zeitreihenanalyse | Time series analysis | Nichtlineare Regression | Nonlinear regression | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis |
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