Measuring Conditional Persistence in Time Series
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References listed on IDEAS
- George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, March.
- Lavergne, Pascal & Vuong, Quang H, 1996.
"Nonparametric Selection of Regressors: The Nonnested Case,"
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- repec:gam:jeners:v:8:y:2015:i:11:p:13162-13193:d:59081 is not listed on IDEAS
- Francisco Martínez-Álvarez & Alicia Troncoso & Gualberto Asencio-Cortés & José C. Riquelme, 2015. "A Survey on Data Mining Techniques Applied to Electricity-Related Time Series Forecasting," Energies, MDPI, Open Access Journal, vol. 8(11), pages 1-32, November.
More about this item
KeywordsPersistence; Nonparametric regression; Nonlinear models; Real exchange rates;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-02 (All new papers)
- NEP-ECM-2002-12-10 (Econometrics)
- NEP-ETS-2002-12-02 (Econometric Time Series)
- NEP-IFN-2002-12-02 (International Finance)
- NEP-RMG-2002-12-02 (Risk Management)
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