Nonlinear autoregressive models with optimality properties
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Publication:5860996
DOI10.1080/07474938.2019.1701807zbMath1490.62421OpenAlexW2997193193WikidataQ126446837 ScholiaQ126446837MaRDI QIDQ5860996
Francisco Blasques, Siem Jan Koopman, André Lucas
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2019.1701807
smooth transitionmacroeconomic time seriesscore driven time-varying parameter modelstreshold autoregressive models
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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