A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models

DOI10.1007/978-1-4614-8060-0_9zbMath1407.62317OpenAlexW1502139861MaRDI QIDQ4561862

Philipp Sibbertsen, Hendrik Kaufmann, Robinson Kruse

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-500.pdf

zbMATH Keywords

model selectionnonlinearityunit rootthreshold modelsmooth transition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

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