Testing the Adequacy of Smooth Transition Autoregressive Models
Year of publication: |
1995-05
|
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Authors: | Eitrheim, Øyvind ; Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | Autocorrelation | Lagrange Multiplier test | model evaluation | model misspecification | nonlinear time series | time series modelling |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Econometrics, 1996, pages 59-75 The text is part of a series Working Paper Series in Economics and Finance Number 56 23 pages |
Classification: | C22 - Time-Series Models |
Source: |
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