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Evaluating a class of nonlinear time series models

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  • Heinen, Florian
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    Abstract

    We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and evaluation we first treat how to choose an adequate transition function and then contribute to the evaluation stage by proposing tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by generalized impulse response functions. The finite sample properties of the proposed tests are studied via simulation. We illustrate the use of these methods by an application to real exchange rate data.

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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-445.pdf
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    Bibliographic Info

    Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-445.

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    Length: 33 pages
    Date of creation: Apr 2010
    Date of revision:
    Handle: RePEc:han:dpaper:dp-445

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    Keywords: Nonlinearities; Smooth transition; Specification testing; Real exchange rates;

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