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Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492

Smooth transition models

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000953743

Modelling economic relationships with smooth transition regressions

Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000955669

Linearity testing and nonlinear modeling of economic time series

Teräsvirta, Timo - In: Nonlinear dynamics and economics : proceedings of the …, (pp. 281-293). 1996

Persistent link: https://www.econbiz.de/10001297243

Contrastes de linealidad y modelización de series temporales no lineales

Teräsvirta, Timo - In: Información comercial española / Cuadernos económicos (1994), pp. 29-42

Persistent link: https://www.econbiz.de/10001339986

Power properties of linearity test for time series

Teräsvirta, Timo (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 3-10

Persistent link: https://www.econbiz.de/10001769423

Power properties of linearity tests for time series

Teräsvirta, Timo - 1990

Persistent link: https://www.econbiz.de/10000168174

[Rezension von: Hendry, David F., ...,, Understanding economic forecasts]

Teräsvirta, Timo - In: Journal of economic literature 41 (2003) 2, pp. 579-581

Persistent link: https://www.econbiz.de/10001789459

[Rezension von: Harvey, Andrew C., Dynamic models for volatility and heavy tails, with applications to financial and economic time series]

Teräsvirta, Timo - In: Journal of economic literature 51 (2013) 4, pp. 1190-1192

Persistent link: https://www.econbiz.de/10010477804

Forecasting economic variables with nonlinear models

Teräsvirta, Timo - 2006

Persistent link: https://www.econbiz.de/10003338433

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