Functional coefficient autoregressive models for vector time series
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 50 (2006)
Issue (Month): 12 (August)
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Web page: http://www.elsevier.com/locate/csda
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- An, H. Z. & Chen, S. G., 1997. "A note on the ergodicity of non-linear autoregressive model," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 365-372, June.
- repec:wop:humbsf:1998-10 is not listed on IDEAS
- Wolfgang HÄRDLE & A. TSYBAKOV & L. YANG, 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Jianhua Z. Huang & Haipeng Shen, 2004. "Functional Coefficient Regression Models for Non-linear Time Series: A Polynomial Spline Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 31(4), pages 515-534.
- Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying-coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80.
- Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010.
"Multivariate Contemporaneous-Threshold Autoregressive Models,"
UFAE and IAE Working Papers
817.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
- Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella.
- Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
- Dette, Holger & Weißbach, Rafael, 2009. "A bootstrap test for the comparison of nonlinear time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1339-1349, February.
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