Characterizing nonlinearities in business cycles using smooth transition autoregressive models

Journal of Applied Econometrics

Volumn 7, Issue 1 S, 1992, Pages S119-S136

  Terasvirta, T ^a,b   Anderson, H M ^b  

^a Elinkeinoelaman Tutkimuslaitos   (Finland)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84986414326     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.3950070509     Document Type: Article

References (16)

1. On estimating thresholds in autoregressive models
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Testing linearity of economic time series against cyclical asymmetry
4. Testing linearity against smooth transition autoregressive models
5. Non‐linear time series models and dynamical systems
6. Power of a time series linearity test against a bilinear alternative