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Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

  • Philip Rothman

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Paper provided by East Carolina University, Department of Economics in its series Working Papers with number 9813.

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Handle: RePEc:wop:eacaec:9813
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  1. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July.
  2. Rothman, P, 1992. "The Comparative Power of the TR Test against Simple Threshold Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S187-95, Suppl. De.
  3. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
  4. repec:att:wimass:9520 is not listed on IDEAS
  5. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics.
  6. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, vol. 31(1), pages 31-35.
  7. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
  8. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C47-C75.
  9. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
  10. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  11. Clements, M.P. & Krolzig, H.-M., 1997. "A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP," The Warwick Economics Research Paper Series (TWERPS) 489, University of Warwick, Department of Economics.
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