A SETAR model with long-memory dynamics
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- Laurent Ferrara & Dominique Guégan, 2006.
"Detection of the Industrial Business Cycle using SETAR Models,"
Journal of Business Cycle Measurement and Analysis,
OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
- Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309, HAL.
- Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
- repec:hal:journl:halshs-00185369 is not listed on IDEAS
- Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- repec:hal:journl:halshs-00185373 is not listed on IDEAS
- repec:bpj:jtsmet:v:10:y:2018:i:1:p:20:n:1 is not listed on IDEAS
- Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-09-08 (All new papers)
- NEP-ECM-2003-09-08 (Econometrics)
- NEP-ETS-2003-09-08 (Econometric Time Series)
- NEP-FIN-2003-09-08 (Finance)
- NEP-MAC-2003-09-08 (Macroeconomics)
- NEP-RMG-2003-09-08 (Risk Management)
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