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~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"regime-switching"
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regime-switching
smooth transition autoregression
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smooth transition
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Lagrange multiplier test
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Erasmus University Rotterdam, Econometric Institute
Department of Economics and Finance, College of Business and Economics
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
Chan, F.
;
McAleer, M.J.
;
Medeiros, M.C.
-
Erasmus University Rotterdam, Econometric Institute
-
2011
ergodicity of three different specifications of the first-order
smooth
transition
autoregressions with heteroskedastic errors …
Persistent link: https://www.econbiz.de/10008800914
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