Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model

DOI10.1016/J.JECONOM.2023.105494OpenAlexW2985722718MaRDI QIDQ6190951

Jian Kang, Timo Teräsvirta, Annastiina Silvennoinen, Changli He

Publication date: 6 March 2024

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

Full work available at URL: https://pure.au.dk/ws/files/170314999/rp19_18.pdf

zbMATH Keywords

nonlinear modeltime-varying correlationchanging seasonalityvector smooth transition autoregression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
• Testing linearity against smooth transition autoregressive models
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
• Modelling Nonlinear Economic Time Series

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