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Citations for "Testing for Smooth Transition Nonlinearity in the Presence of Outliers"

by Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre

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  1. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
  2. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  3. Jesús Otero & Jeremy Smith, 2005. "The KPSS Test with Outliers," Computational Economics, Society for Computational Economics, vol. 26(3), pages 59-67, November.
  4. Samira Haddou, 2011. "Is Tunisian Real Effective Exchange Rate Mean Reverting? Evidence from Nonlinear Models," Transition Studies Review, Springer, vol. 18(1), pages 164-178, September.
  5. Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
  6. Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros, 2007. "Do real interest rates converge? Evidence from the European Union," Cardiff Economics Working Papers E2007/26, Cardiff University, Cardiff Business School, Economics Section.
  7. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  8. A Matas-Mir & D R Osborn, 2001. "Does Seasonality Change Over the Business Cycle? An Investigation Using Monthly Industrial Production Series," The School of Economics Discussion Paper Series 0110, Economics, The University of Manchester.
  9. Arghyrou, Michael G. & Gregoriou, Andros, 2008. "Non-linearity versus non-normality in real exchange rate dynamics," Economics Letters, Elsevier, vol. 100(2), pages 200-203, August.
  10. Sensier, Marianne & Osborn, Denise R & Ocal, Nadir, 2002. " Asymmetric Interest Rate Effects for the UK Real Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 315-39, September.
  11. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  12. Preminger, Arie & Franck, Raphael, 2007. "Forecasting exchange rates: A robust regression approach," International Journal of Forecasting, Elsevier, vol. 23(1), pages 71-84.
  13. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 591-596.
  14. Shelley, Gary & Wallace, Frederick, 2010. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," MPRA Paper 24962, University Library of Munich, Germany.
  15. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  16. Giordani, P. & Kohn, R. & van Dijk, D.J.C., 2005. "A unified approach to nonlinearity, structural change and outliers," Econometric Institute Research Papers EI 2005-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  17. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  18. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
  19. Arie Preminger & Shinichi Sakata, 2007. "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 294-319, 07.
  20. Mendoza Lugo, Omar & Pedauga, Luis Enrique, 2006. "Efecto transferencia (pass-through) del tipo de cambio en los precios de bienes y servicios en Venezuela
    [Exchange rate pass-through on prices of goods and services in Venezuela]
    ," MPRA Paper 14874, University Library of Munich, Germany.
  21. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
  22. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
  23. Saikkonen, Pentti & Sandberg , Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
  24. Arghyrou, Michael G. & Gregoriou, Andros, 2007. "Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap," Economics Letters, Elsevier, vol. 95(2), pages 285-290, May.