Thresholds and Smooth Transitions in Vector Autoregressive Models
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Publication:3295730
DOI10.1108/S0731-9053(2013)0000031008zbMath1443.62153MaRDI QIDQ3295730
Kirstin Hubrich, Timo Teräsvirta
Publication date: 10 July 2020
Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)
linearity testingthreshold estimationnonlinear cointegrationimpulse response analysismultivariate nonlinear modelcommon nonlinearity
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)
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