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Tree-structured smooth transition regression models

  • da Rosa, Joel Correa
  • Veiga, Alvaro
  • Medeiros, Marcelo C.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4PKPGKR-1/2/f1e7a22833d3663c24165bfcfa82219a
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2008)
Issue (Month): 5 (January)
Pages: 2469-2488

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Handle: RePEc:eee:csdana:v:52:y:2008:i:5:p:2469-2488
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier.
  2. repec:cup:cbooks:9780521252805 is not listed on IDEAS
  3. Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil).
  4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  5. Wooldridge, Jeffrey M., 1991. "On the application of robust, regression- based diagnostics to models of conditional means and conditional variances," Journal of Econometrics, Elsevier, vol. 47(1), pages 5-46, January.
  6. Cooper, Suzanne J, 1998. "Multiple Regimes in U.S. Output Fluctuations," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 92-100, January.
  7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  8. Ciampi, Antonio, 1991. "Generalized regression trees," Computational Statistics & Data Analysis, Elsevier, vol. 12(1), pages 57-78, August.
  9. Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
  10. Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," SSE/EFI Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 10 Feb 2000.
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