A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis

DOI10.1002/FOR.2344zbMath1397.62288OpenAlexW1959616790MaRDI QIDQ4687555

Zhang, Lixin, Siu Hung Cheung, Wai Kit Chow, Wai Sum Chan

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2344

zbMATH Keywords

outliersrobustnessMonte Carlo experimentnonlinear time seriesmacroeconomic forecastingvector autoregression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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