Absorption of shocks in nonlinear autoregressive models

Computational Statistics and Data Analysis

Volumn 51, Issue 9, 2007, Pages 4206-4226

  van Dijk, Dick ^a   Hans Franses, Philip ^a   Peter Boswijk, H ^b  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asymmetry; Half life; Impulse response; Regime switching models

Indexed keywords

ABSORPTION; DATA REDUCTION; IMPULSE RESPONSE; MATHEMATICAL MODELS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

HALF-LIFE; NONLINEAR MODELS; REGIME-SWITCHING MODELS;

NONLINEAR ANALYSIS;

EID: 34147126976     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.04.033     Document Type: Article

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