Threshold Autoregression for Strongly Autocorrelated Time Series
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Other versions of this item:
- Lanne, Markku & Saikkonen, Pentti, 2002. "Threshold Autoregressions for Strongly Autocorrelated Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 282-289, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Theofanis Archontakis & Wolfgang Lemke, 2008.
"Threshold Dynamics of Short-term Interest Rates: Empirical Evidence and Implications for the Term Structure,"
Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
- Archontakis, Theofanis & Lemke, Wolfgang, 2007. "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies 2007,02, Deutsche Bundesbank.
- Jarkko Jääskelä, 2007. "More Potent Monetary Policy? Insights from a Threshold Model," RBA Research Discussion Papers rdp2007-07, Reserve Bank of Australia.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
- Timo Teräsvirta, 2909. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
- Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Economics Working Paper Archive at Hunter College 406, Hunter College Department of Economics, revised 2005.
- Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
More about this item
KeywordsTESTS ; MODELS ; TIME SERIES;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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