Modelling autoregressive processes with a shifting mean

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 1, 2008, Pages

  González, Andrés ^a   Teräsvirta, Timo ^b  

^a BANCO DE LA REPÚBLICA   (Colombia)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Deterministic shift; Nonlinear autoregression; Nonlinear trend; Nonstationarity; Smooth transition; Structural change

Indexed keywords

EID: 42149171735     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1459     Document Type: Article

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