Heinen, Florian - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
We consider a recently proposed class of nonlinear time series models and focus mainly onmisspecification testing for … time series models and focus mainly on
misspecification testing for models of such type. Following the modeling cycle for … exchange rate data.
JEL-Numbers: C12, C22, C52
Keywords: Nonlinearities · Smooth transition · Specification testing · Real …