A robust algorithm for parameter estimation in smooth transition autoregressive models
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References listed on IDEAS
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- Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
More about this item
KeywordsSTAR models Gradient descent Singular value decomposition Heteroscedastic noise;
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