Strikholm, Birgit; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005
autoregressive one, no asymptotic properties are claimed for the proposed method. Tests available for testing the adequacy of a … properties are claimed for the
proposed method. Tests available for testing the adequacy of a smooth
transition autoregressive … selection criterion, nonlinear
modelling, sequential testing, switching regression.
JEL Classification Code: C22, C51
∗This …