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Thresholds and Smooth Transitions in Vector Autoregressive Models

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  • Kirstin Hubrich

    ()
    (European Central Bank, Frankfurt am Main)

  • Timo Teräsvirta

    ()
    (Aarhus University, School of Economics and Management and CREATES)

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2013-18.

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Length: 54
Date of creation: 06 Jun 2013
Date of revision:
Handle: RePEc:aah:create:2013-18

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation;

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References

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Citations

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Cited by:
  1. A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series 100, National Centre for Econometric Research.
  2. Schleer, Frauke & Semmler, Willi, 2013. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," CREATES Research Papers 2014-09, School of Economics and Management, University of Aarhus.

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