Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d'intérêt réel américain
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- Nicolas Million, 2010. "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d’intérêt réel américain," Économie et Prévision, Programme National Persée, vol. 192(1), pages 83-95.
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More about this item
Keywords
M-SETAR model; structural break; real interest rate; regime shift;All these keywords.
JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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