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Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
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Document type | Document de travail (Working Paper) |
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Access type | Accès interdit |
Publication date | 2014 |
Language | Anglais |
Number of pages | 43 pages |
Collection | CORE Discussion Papers - 2014/62 |
Affiliations |
UCL
- SSH/IACS - Institute of Analysis of Change in Contemporary and Historical Societies Aahrus University - CREATES |
Keywords | Vector STAR models ; Modelling nonlinearity ; Vector autoregression ; Generalized impulse response ; Asymmetry ; Oil price ; River flow. |
Links |
Bibliographic reference | Terasvirta, Timo ; Yang, Yukai. Specification, estimation and evaluation of vector smooth transition autoregressive models with applications. CORE Discussion Papers ; 2014/62 (2014) 43 pages |
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Permanent URL | http://hdl.handle.net/2078.1/152768 |