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~subject:"Lagrange multiplier test"
~institution:"Economics Institute for Research (SIR), Handelshögskolan i Stockholm"
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Lagrange multiplier test
nonlinear time series
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time series modelling
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Conditional heteroskedasticity
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model misspecification test
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smooth transition GARCH
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smooth transition autoregression
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Teräsvirta, Timo
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Amado, Cristina
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Meitz, Mika
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho
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School of Economics and Management, University of Aarhus
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Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
Amado, Cristina
;
Teräsvirta, Timo
-
Economics Institute for Research (SIR), …
-
2008
; Structural change; Lagrange multiplier test; Misspeci�cation test;
Nonlinear
time
series
; Time-varying parameter model. 2 1 …
Persistent link: https://www.econbiz.de/10005423887
Saved in:
2
Evaluating models of autoregressive conditional duration
Meitz, Mika
;
Teräsvirta, Timo
-
Economics Institute for Research (SIR), …
-
2004
;
Nonlinear
time
series
; Parameter constancy ∗e-mail: mika.meitz@hhs.se †e-mail: timo.terasvirta@hhs.se Acknowledgements. This …
Persistent link: https://www.econbiz.de/10005649199
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