Instability in regime switching models
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Cites work
- A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A review of threshold time series models in finance
- A threshold AR(1) model
- Comparison study of AR models on the Canadian lynx data: A close look at BDS statistic
- Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- PIGGYBACKING THRESHOLD PROCESSES WITH A FINITE STATE MARKOV CHAIN
- Sample Splitting and Threshold Estimation
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Stability of cyclic threshold and threshold-like autoregressive time series models
- Stability results for nonlinear error correction models
- Statistical Properties of Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- Testing for two-regime threshold cointegration in vector error-correction models.
- Threshold models in non-linear time series analysis
- Threshold vector ARMA models
- Vector equilibrium correction models with non‐linear discontinuous adjustments
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