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14-103/III - Optimal Formulations for Nonlinear Autoregressive Processes


  • Authors
    Francisco Blasques; Siem Jan Koopman; André Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    August 11, 2014
  • Keywords
    Asymptotic theory; Dynamic models, Observation driven time series models; Smooth-transition model; Time-Varying Parameters; Treshold autoregressive model
  • JEL
    C13, C22, C32