Introduction to m-m processes

DOI10.1016/j.jeconom.2004.09.013zbMath1337.62153OpenAlexW3123152278MaRDI QIDQ269401

Clive W. J. Granger, Namwon Hyung

Publication date: 18 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.013

zbMATH Keywords

thresholdinterest rate spreadmin-max processneglected nonlinearitynonlinear error correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Unnamed Item ⋮ A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

Cites Work

• Cramer and Cayley-Hamilton in the max algebra
• Eigenvalues of dynamic max-min systems
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• A multiple-threshold AR(1) model
• Threshold Cointegration
• Testing and Modeling Multivariate Threshold Models
• Modelling Nonlinear Relationships between Extended-Memory Variables
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