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  • Search: subject:"Dynamic mixture vector autoregressive mmodel"
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Year of publication
Subject
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ACR 1 Dynamic mixture vector autoregressive mmodel 1 autoregressive conditional root model 1 regime switching 1 stochastic unit root 1 threshold autoregression 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Bec, Frédérique 1 Rahbek, Anders 1 Shephard, Neil 1
Institution
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Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise 1
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THEMA Working Papers 1
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RePEc 1
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The ACR model: a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil - Théorie Économique, Modélisation, Application … - 2008
In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate dynamic mixture autoregression which allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold...
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