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Nested threshold autoregressive (NeTAR) models

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  • Astatkie, T.
  • Watts, D. G.
  • Watt, W. E.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-3SWXN18-B/2/2b2c3f2db6061bdf8e77845a4a880a51
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 13 (1997)
    Issue (Month): 1 (March)
    Pages: 105-116

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    Handle: RePEc:eee:intfor:v:13:y:1997:i:1:p:105-116

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    Web page: http://www.elsevier.com/locate/ijforecast

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    Cited by:
    1. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
    3. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, School of Economics and Management, University of Aarhus.
    4. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    5. 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.
    6. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.

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