Nonlinear stochastic inflation modelling using SEASETARs.

DOI10.1016/S0167-6687(02)00190-7zbMath1055.91022MaRDI QIDQ1413380

Antoni Vidiella-i-Anguera, Jan G. De Gooijer

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

TestingSeasonalityThreshold autoregressionsWilkie's model

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

A bivariate threshold time series model for analyzing Australian interest rates

Cites Work

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• Seasonal integration and cointegration
• Threshold models in non-linear time series analysis
• Seasonal unit roots in aggregate U.S. data (with discussion)
• The model selection criterion AICu.
• Estimation and model selection based inference in single and multiple threshold models.
• Testing and Modeling Threshold Autoregressive Processes

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