Thresholds and Smooth Transitions in Vector Autoregressive Models☆The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Central Bank
In: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
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Abstract
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DOI: 10.1108/S0731-9053(2013)0000031008
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Keywords
Common nonlinearity; impulse response analysis; linearity testing; multivariate nonlinear model; nonlinear cointegration; threshold estimation; C32; C51; C52; C53;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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