González, Andrés; Teräsvirta, Timo - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 1, pp. 1459-1459
In this paper we introduce an autoregressive model with a deterministically shifting intercept. This implies that the model has a shifting mean and is thus nonstationary but stationary around a nonlinear deterministic component. The shifting intercept is defined as a linear combination of...
