The Multivariate Threshold Model an Alternative to detect Breaks and Hidden Cycles on Real Data.

In this article, the authors put forward another viewpoint which shows how a "small noise" (which may be Gaussian) can cause great fluctuations because of the unstable structure of the model skeleton (i.e. its deterministic part) and whihc permits nevertheless to undertake forecast methods in periods of stability.

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Year of publication:	1998
Authors:	Guegan, D. ; Nguyen, J.-M.
Subject:	DYNAMIC ANALYSIS \| ECONOMETRICS \| STATISTICAL ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671493