Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables

DOI10.1007/s10260-014-0275-6zbMath1477.62366OpenAlexW1980561086MaRDI QIDQ2066871

Hany Fahmy

Publication date: 14 January 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://viurrspace.ca/handle/10613/13980

zbMATH Keywords

inflationcommodity pricesthreshold modelsregime switching modelsoil priceborder pricescost and freightfree on boardsmooth transition regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A note on the stationarity of the primary commodities relative price index
• Testing the adequacy of smooth transition autoregressive models
• Testing parameter constancy in linear models against stochastic stationary parameters
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• On the Behaviour of Commodity Prices
• Testing for a unit root in time series regression
• Testing linearity against smooth transition autoregressive models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• On a measure of lack of fit in time series models
• A Test for Normality of Observations and Regression Residuals
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Stochastic Speculative Price
• A new look at the statistical model identification

This page was built for publication: Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables