Absorption of shocks in nonlinear autoregressive models
From MaRDI portal
Publication:1020077
DOI10.1016/j.csda.2006.04.033zbMath1162.62409OpenAlexW2047070308MaRDI QIDQ1020077
Philip Hans Franses, H. Peter Boswijk, Dick van Dijk
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.04.033
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
Asymmetries and Markov-switching structural VAR ⋮ Noncausality and inflation persistence ⋮ Speed of adjustment in cointegrated systems ⋮ A nonlinear long memory model, with an application to US unemployment.
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov-switching stochastic trends and economic fluctuations
- Impulse response analysis in nonlinear multivariate models
- Generalized impulse response analysis in linear multivariate models
- A floor and ceiling model of US output
- Nonlinear impulse response functions
- Cointegration and speed of convergence to equilibrium
- Parameter uncertainty and impulse response analysis
- Nonlinear Dynamic Structures
- Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
- MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Artificial neural networks: an econometric perspective∗
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Testing for multimodality with dependent data
