Grillenzoni, Carlo - In: Journal of Business & Economic Statistics 11 (1993) 2, pp. 235-50
This article introduces a general class of nonlinear and nonstationary time-series models whose basic scheme is an autoregressive integrated moving average (ARIMA). The main feature i s that the parameters are assumed to behave like a vector ARIMAx model in which the exogenous (x) component is...