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Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

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Philip Rothman

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Paper provided by East Carolina University, Department of Economics in its series Working Papers with number 9813.

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Handle: RePEc:wop:eacaec:9813

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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. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
  2. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, vol. 31(1), pages 31-35. [Downloadable!] (restricted)
  3. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February. [Downloadable!] (restricted)
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  4. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C47-C75.
  5. repec:att:wimass:199520 is not listed on IDEAS
  6. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  7. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S187-95, Suppl. De. [Downloadable!] (restricted)
  8. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics. [Downloadable!]
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  9. Clements, M.P. & Krolzig, H.-M., 1997. "A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP," The Warwick Economics Research Paper Series (TWERPS) 489, University of Warwick, Department of Economics.
  10. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February. [Downloadable!] (restricted)
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Cited by:
(explanations, 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. Alan E. H. Speight & Piers Thompson, 2006. "Is investment time irreversible? Some empirical evidence for disaggregated UK manufacturing data," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2265-2275, October. [Downloadable!] (restricted)
  2. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-6. [Downloadable!]
  3. Philip Rothman, 1999. "Time Irreversible Unemployment Rates," Working Papers 9903, East Carolina University, Department of Economics. [Downloadable!]
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