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