Tree-structured smooth transition regression models
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 52 (2008)
Issue (Month): 5 (January)
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eitrheim, Oyvind & Terasvirta, Timo, 1996.
"Testing the adequacy of smooth transition autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 59-75, September.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
- Cooper, Suzanne J, 1998. "Multiple Regimes in U.S. Output Fluctuations," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 92-100, January.
- Hansen, B.E., 1991.
"Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis,"
RCER Working Papers
296, University of Rochester - Center for Economic Research (RCER).
- Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
- White,Halbert, 1996.
"Estimation, Inference and Specification Analysis,"
Cambridge University Press, number 9780521574464, October.
- Ciampi, Antonio, 1991. "Generalized regression trees," Computational Statistics & Data Analysis, Elsevier, vol. 12(1), pages 57-78, August.
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002.
"Building neural network models for time series: A statistical approach,"
Working Paper Series in Economics and Finance
508, Stockholm School of Economics.
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussÃ£o 461, Department of Economics PUC-Rio (Brazil).
- White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
- Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier.
- Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
- Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 10 Feb 2000.
- Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
- Marcel Scharth & Marcelo Cunha Medeiros, 2006.
"Asymmetric effects and long memory in the volatility of Dow Jones stocks,"
Textos para discussÃ£o
532, Department of Economics PUC-Rio (Brazil).
- Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
- Eduardo Mendes & Alvaro Veiga & MArcelo Cunha Medeiros, 2007. "Estimation And Asymptotic Theory For A New Class Of Mixture Models," Textos para discussÃ£o 538, Department of Economics PUC-Rio (Brazil).
- Willert, Juliane, 2010.
"Mean Shift detection under long-range dependencies with ART,"
Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover
dp-437, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Willert, Juliane, 2009. "Mean Shift detection under long-range dependencies with ART," MPRA Paper 17874, University Library of Munich, Germany.
- Francesco Audrino & Marcelo Cunha Medeiros, 2010.
"Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging,"
Textos para discussÃ£o
570, Department of Economics PUC-Rio (Brazil).
- Francesco Audrino & Marcelo C. Medeiros, 2011. "Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 999-1022, 09.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.