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Common Persistence in Nonlinear Autoregressive Models

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Author Info
H. Peter Boswijk
Philip Hans Franses

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File URL: ftp://weber.ucsd.edu/pub/econlib/dpapers/ucsd9610.ps.gz
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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 96-10.

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Date of creation: Mar 1996
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Handle: RePEc:cdl:ucsdec:96-10

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References listed on IDEAS
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.:
  1. Franses, P.H. & Draisma, G., 1995. "Recognizing Changing Seasonal Patterns Using Artificial Neural Networks," Papers 9514/a, Erasmus University of Rotterdam - Econometric Institute.
  2. Priestley, M. B., 1988. "Current developments in time series modelling," Journal of Econometrics, Elsevier, vol. 37(1), pages 67-86, January. [Downloadable!] (restricted)
  3. Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-64, Oct.-Dec.. [Downloadable!] (restricted)
  4. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 117-143. [Downloadable!] (restricted)
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  5. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  6. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June. [Downloadable!] (restricted)
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  1. R. Paap & Ph.H.B.F. Franses, 1999. "Does the US and Canada have a common nonlinear cycle in unemployment?," Econometric Institute Report 108, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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