Multivariate contemporaneous-threshold autoregressive models
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Asymptotic theory of statistical inference for time series
- Chapter 4 The Vector Floor and Ceiling Model
- Computing the joint spectral radius
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Functional coefficient autoregressive models for vector time series
- Geometric equivalence of groups.
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Markov chains and stochastic stability
- Miscellanea. A note on tests for nonlinearity in a vector time series
- Mixing: Properties and examples
- Model selection in threshold models
- Multivariate star analysis of money-output relationship
- Nonlinearity tests for time series
- On a mixture vector autoregressive model
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Regression Analysis when the Dependent Variable Is Truncated Normal
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Selecting nonlinear time series models using information criteria
- Testing and Modeling Multivariate Threshold Models
- Testing the term structure of interest rates using a stationary vector autoregression with regime switching
- The Lyapunov exponent and joint spectral radius of pairs of matrices are hard - when not impossible - to compute and to approximate
- Threshold models in non-linear time series analysis
- Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
Cited in
(14)- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Multivariate Continuation Ratio Models: Connections and Caveats
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- Multivariate elliptically contoured autoregressive process
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Contemporaneous-threshold smooth transition GARCH models
- Testing for observation-dependent regime switching in mixture autoregressive models
- Multivariate smooth transition AR model with aggregation operators and application to exchanges rates
- Smooth transition simultaneous equation models
- Forecasting with Multivariate Threshold Autoregressive Models
- Testing and Modeling Multivariate Threshold Models
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Gaussian mixture vector autoregression
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