Determining the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Working paper

Birgit Strikholm

SSE/EFI Working Paper Series in Economics and Finance, 578

2005

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Title: Determining the number of regimes in a threshold autoregressive model using smooth transition autoregressions
Creators - without role: Birgit Strikholm - Stockholm School of Economics, {Historical} Center for Economic Statistics
Series: SSE/EFI Working Paper Series in Economics and Finance; 578
Identifiers: 991001480628606056
Academic Unit: {Historical} Center for Economic Statistics
Language: English
Resource Type: Working paper