This document has not been cited yet.

1. Akaike H. 1974. Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes. Annals of the Institute of Statistical Mathematics 26(1):363–387.
   Paper not yet in RePEc: Add citation now
   
2. Bacon DW, Watts DG. 1971. Estimating the transition between two intersecting straight lines. Biometrika 58(3):525–534.
   Paper not yet in RePEc: Add citation now
   
3. Chan K‐S, Goracci G. 2019. On the ergodicity of first‐order threshold autoregressive moving‐average processes. Journal of Time Series Analysis 40(2):256–264.
   Paper not yet in RePEc: Add citation now
   

4. Chan K‐S, Tong H. 1986. On estimating thresholds in autoregressive models. Journal of Time Series Analysis 7(3):179–190.

5. Chan K‐S, Tong H. 1990. On likelihood ratio tests for threshold autoregression. Journal of the Royal Statistical Society: Series B: Methodological 52(3):469–476.
   Paper not yet in RePEc: Add citation now
   
6. Chan K‐S. 1990. Testing for threshold autoregression. The Annals of Statistics 18(4):1886–1894.
   Paper not yet in RePEc: Add citation now
   
7. Cryer JD, Chan K‐S. 2008. Time Series Analysis: With Applications in R, 2nd ed. Springer, New York.
   Paper not yet in RePEc: Add citation now
   
8. Davies RB. 1977. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64(2):247–254.
   Paper not yet in RePEc: Add citation now
   
9. Davies RB. 1987. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74(1):33–43.
   Paper not yet in RePEc: Add citation now
   
10. De Gooijer JG. 1998. On threshold moving‐average models. Journal of Time Series Analysis 19(1):1–18.
    Paper not yet in RePEc: Add citation now
    

11. Ekner, L. E., Nejstgaard, E. 2013. Parameter identification in the logistic STAR model. Technical report. Department of Economics, University of Copenhagen.

12. Francq C, Horvath L, Zakoïan J‐M. 2010. Sup‐tests for linearity in a general nonlinear AR (1) model. Econometric Theory 26(4):965–993.
    Paper not yet in RePEc: Add citation now
    
13. Goracci G, Giannerini S, Chan K‐S, Tong H. 2023. Testing for threshold effects in the TARMA framework. Statistica Sinica 30:1–23.
    Paper not yet in RePEc: Add citation now
    

14. Guay A, Scaillet O. 2003. Indirect inference, nuisance parameter, and threshold moving average models. Journal of Business & Economic Statistics 21(1):122–132.

15. Kılıç R. 2016. Tests for linearity in star models: SupWald and LM‐type tests. Journal of Time Series Analysis 37(5):660–674.
    Paper not yet in RePEc: Add citation now
    
16. Li D, Li WK, Ling S. 2011. On the least squares estimation of threshold autoregressive and moving‐average models. Statistics and Its Interface 4(2):183–196.
    Paper not yet in RePEc: Add citation now
    

17. Li D, Ling S, Li WK. 2013. Asymptotic theory on the least squares estimation of threshold moving‐average models. Econometric Theory 29(3):482–516.

18. Li D, Ling S, Tong H. 2012. On moving‐average models with feedback. Bernoulli 18(2):735–745.
    Paper not yet in RePEc: Add citation now
    

19. Li D. 2012. A note on moving‐average models with feedback. Journal of Time Series Analysis 33(6):873–879.

20. Li G, Li WK. 2008. Testing for threshold moving average with conditional heteroscedasticity. Statistica Sinica 18(2):647–665.
    Paper not yet in RePEc: Add citation now
    
21. Ling S, Tong H, Li D. 2007. Ergodicity and invertibility of threshold moving‐average models. Bernoulli 13(1):161–168.
    Paper not yet in RePEc: Add citation now
    
22. Ling S, Tong H. 2005. Testing for a linear MA model against threshold MA models. The Annals of Statistics 33(6):2529–2552.
    Paper not yet in RePEc: Add citation now
    
23. Ling S, Tong H. 2011. Score based goodness‐of‐fit tests for time series. Statistica Sinica 21(4):1807–1829.
    Paper not yet in RePEc: Add citation now
    
24. Ling S. 1999. On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model. Journal of Applied Probability 36(3):688–705.
    Paper not yet in RePEc: Add citation now
    
25. Liu J, Susko E. 1992. On strict stationarity and ergodicity of a non‐linear ARMA model. Journal of Applied Probability 29(2):363–373.
    Paper not yet in RePEc: Add citation now
    
26. Lundbergh S, Teräsvirta T, van Dijk D. 2003. Time‐varying smooth transition autoregressive models. Journal of Business & Economic Statistics 21(1):104–121.
    Paper not yet in RePEc: Add citation now
    
27. Luukkonen R, Saikkonen P, Teräsvirta T. 1988. Testing linearity against smooth transition autoregressive models. Biometrika 75(3):491–499.
    Paper not yet in RePEc: Add citation now
    

28. Perera I, Silvapulle MJ. 2023. Bootstrap specification tests for dynamic conditional distribution models. Journal of Econometrics 235:949–971.

29. Robinson PM. 1977. The estimation of a nonlinear moving average model. Stochastic Processes and their Applications 5(1):81–90.
    Paper not yet in RePEc: Add citation now
    
30. Rothman P, Van Dijk D, Franses PH. 2001. Multivariate STAR analysis of money‐output relationship. Macroeconomic Dynamics 5(4):506–532.
    Paper not yet in RePEc: Add citation now
    
31. Shorack GR, Wellner JA. 1986. Empirical Processes with Applications to Statistics Wiley, New York.
    Paper not yet in RePEc: Add citation now
    

32. Skalin J, Teräsvirta T. 2002. Modeling asymmetries and moving equilibria in unemployment rates. Macroeconomic Dynamics 6(2):202–241.

33. Teräsvirta T, Anderson HM. 1992. Characterizing nonlinearities in business cycles using smooth transition autoregressive models. Journal of Applied Econometrics 7(S1):S119–S136.

34. Teräsvirta T, Tjøstheim D, Granger CWJ. 2010. Modelling Nonlinear Economic Time Series Oxford University Press, New York.
    Paper not yet in RePEc: Add citation now
    
35. Teräsvirta T. 1994. Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 89(425):208–218.
    Paper not yet in RePEc: Add citation now
    
36. Tong H, Lim KS. 1980. Threshold autoregression, limit‐cycles and cyclical data. Journal of the Royal Statistical Society: Series B: Methodological 42(3):245–292.
    Paper not yet in RePEc: Add citation now
    
37. Tong H. 1978. On a threshold model. In Pattern Recognition and Signal Processing, Chen CH (ed.). Sijthoff and Noordhoff, Amsterdam; 575–586.
    Paper not yet in RePEc: Add citation now
    
38. Tsay RS. 1989. Testing and modeling threshold autoregressive processes. Journal of the American Statistical Association 84(405):231–240.
    Paper not yet in RePEc: Add citation now
    

39. van Dijk D, Franses PH. 1999. Modeling multiple regimes in the business cycle. Macroeconomic Dynamics 3(3):311–340.

40. van Dijk D, Teräsvirta T, Franses PH. 2002. Smooth transition autoregressive models—a survey of recent developments. Econometric Reviews 21(1):1–47.

41. Wecker WE. 1981. Asymmetric time series. Journal of the American Statistical Association 76(373):16–21.
    Paper not yet in RePEc: Add citation now
    

1. Evaluating Forecasts from State-Dependent Autoregressive Models for US GDP Growth Rate. Comparison with Alternative Approaches. (2021). Gobbi, Fabio.
   In: Advances in Management and Applied Economics.
   RePEc:spt:admaec:v:11:y:2021:i:6:f:11_6_7.

   Full description at Econpapers || Download paper

2. When Does the Japan Empowering Women Index Outperform Its Parent and the ESG Select Leaders Indexes?. (2021). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto ; Kohei, Aono.
   In: Discussion papers.
   RePEc:eti:dpaper:21053.

   Full description at Econpapers || Download paper

3. Time-varying model averaging. (2021). Lee, Tae Hwy ; Hong, Yongmiao ; Sun, Yuying ; Zhang, Xinyu ; Wang, Shouyang.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:222:y:2021:i:2:p:974-992.

   Full description at Econpapers || Download paper

4. A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2021). Rugamer, David ; Berninger, Christoph ; Stocker, Almond.
   In: Papers.
   RePEc:arx:papers:2006.05750.

   Full description at Econpapers || Download paper

5. Bayesian estimation and model selection of a multivariate smooth transition autoregressive model. (2020). Livingston, Glen ; Nur, Darfiana.
   In: Environmetrics.
   RePEc:wly:envmet:v:31:y:2020:i:6:n:e2615.

   Full description at Econpapers || Download paper

6. Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market.. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa.
   In: Department of Economics and Statistics Cognetti de Martiis. Working Papers.
   RePEc:uto:dipeco:202011.

   Full description at Econpapers || Download paper

7. Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models. (2020). Livingston, Glen ; Nur, Darfiana.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1056-3.

   Full description at Econpapers || Download paper

8. Bayesian Estimation and Unit Root Test for Logistic Smooth Transition Autoregressive Process. (2020). Chaturvedi, Anoop ; Jaiswal, Shivam.
   In: Journal of Quantitative Economics.
   RePEc:spr:jqecon:v:18:y:2020:i:4:d:10.1007_s40953-019-00193-9.

   Full description at Econpapers || Download paper

9. Global Cities and Local Housing Market Cycles. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:61:y:2020:i:4:d:10.1007_s11146-019-09734-8.

   Full description at Econpapers || Download paper

10. A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frédérique.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-03010256.

    Full description at Econpapers || Download paper

11. A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frédérique.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2020-10.

    Full description at Econpapers || Download paper

12. Rounding bias in forecast uncertainty. (2020). Levenko, Natalia.
    In: Research in Economics.
    RePEc:eee:reecon:v:74:y:2020:i:4:p:277-291.

    Full description at Econpapers || Download paper

13. Spatial and cross-product price linkages in the Brazilian pine timber markets. (2020). Schons, Stella Z ; Parajuli, Rajan ; Cubbage, Frederick W ; da Silva, Bruno Kanieski.
    In: Forest Policy and Economics.
    RePEc:eee:forpol:v:117:y:2020:i:c:s1389934119302667.

    Full description at Econpapers || Download paper

14. Housing market cycles in large urban areas. (2020). Canepa, Alessandra ; Alqaralleh, Huthaifa.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:92:y:2020:i:c:p:257-267.

    Full description at Econpapers || Download paper

15. A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frédérique.
    In: Working Papers.
    RePEc:crs:wpaper:2020-28.

    Full description at Econpapers || Download paper

16. Regime shifts in the effects of Japan’s unconventional monetary policies. (2020). Okimoto, Tatsuyoshi ; Miyao, Ryuzo.
    In: Manchester School.
    RePEc:bla:manchs:v:88:y:2020:i:6:p:749-772.

    Full description at Econpapers || Download paper

17. A Portmanteau Test for Smooth Transition Autoregressive Models. (2020). Zhang, Zhiqiang ; Li, Wai Keung ; Xia, Qiang.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:41:y:2020:i:5:p:722-730.

    Full description at Econpapers || Download paper

18. Housing Market Cycles in Large Urban Areas.. (2019). Canepa, Alessandra ; Alqaralleh, Huthaifa.
    In: Department of Economics and Statistics Cognetti de Martiis. Working Papers.
    RePEc:uto:dipeco:201903.

    Full description at Econpapers || Download paper

19. Modelling Housing Market Cycles in Global Cities.. (2019). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa.
    In: Department of Economics and Statistics Cognetti de Martiis. Working Papers.
    RePEc:uto:dipeco:201901.

    Full description at Econpapers || Download paper

20. Finance, Institutions, Remittances and Economic growth: New Evidence from a Dynamic Panel Threshold Analysis. (2019). Fiodendji, Komlan ; Adetou, Afi Etonam.
    In: Journal of Applied Finance & Banking.
    RePEc:spt:apfiba:v:9:y:2019:i:2:f:9_2_4.

    Full description at Econpapers || Download paper

21. Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery. (2019). Zekaite, Zivile ; Fernandes, Filipa ; Stasinakis, Charalampos.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2808-0.

    Full description at Econpapers || Download paper

22. Uncertainty-Dependent and Sign-Dependent Effects of Oil Market Shocks. (2019). Okimoto, Tatsuyoshi ; Tran, Trung Duc ; Tatsuyoshi, Okimoto ; Nguyen, Bao H.
    In: Discussion papers.
    RePEc:eti:dpaper:19042.

    Full description at Econpapers || Download paper

23. How Does Unconventional Monetary Policy Affect the Global Financial Markets?: Evaluating Policy Effects by Global VAR Models. (2019). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto ; Tomoo, Inoue.
    In: Discussion papers.
    RePEc:eti:dpaper:19031.

    Full description at Econpapers || Download paper

24. Nonlinear impact of economic policy uncertainty shocks on credit scale: Evidence from China. (2019). Jiang, Yonghong ; He, Luli ; Meng, Juan ; Nie, HE.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:521:y:2019:i:c:p:626-634.

    Full description at Econpapers || Download paper

25. Chaotic dynamics of a piecewise linear model of credit cycles. (2019). Asano, Takao ; Yokoo, Masanori.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:80:y:2019:i:c:p:9-21.

    Full description at Econpapers || Download paper

26. Trend inflation and monetary policy regimes in Japan. (2019). Okimoto, Tatsuyoshi.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:92:y:2019:i:c:p:137-152.

    Full description at Econpapers || Download paper

27. Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99.

    Full description at Econpapers || Download paper

28. EFFECT OF OIL PRICES ON STOCK MARKETS: EVIDENCE FROM NEW GENERATION OF STAR MODEL. (2019). Abdelsalam, Mamdouh ; Harb, Nermeen ; Abdelmoula, Mamdouh.
    In: Bulletin of Economic Research.
    RePEc:bla:buecrs:v:71:y:2019:i:3:p:466-482.

    Full description at Econpapers || Download paper

29. Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea.
    In: Working Papers.
    RePEc:anc:wpaper:440.

    Full description at Econpapers || Download paper

30. Does Convertible Arbitrage Risk Exposure Vary Through Time?. (2018). Gallagher, Liam ; Hutchinson, Mark ; Obrien, John.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:21:y:2018:i:04:n:s0219091518500261.

    Full description at Econpapers || Download paper

31. Measuring contagion risk in high volatility state among Taiwanese major banks. (2018). Su, EnDer.
    In: Risk Management.
    RePEc:pal:risman:v:20:y:2018:i:3:d:10.1057_s41283-018-0035-2.

    Full description at Econpapers || Download paper

32. Forecasting currency crises with threshold models. (2018). CHONG, Terence Tai Leung ; Yan, Isabel K.
    In: International Economics.
    RePEc:eee:inteco:v:156:y:2018:i:c:p:156-174.

    Full description at Econpapers || Download paper

33. Estimation and inference of threshold regression models with measurement errors. (2018). Wong, Russell ; CHONG, Terence Tai Leung ; Kit-Ming, Yan Isabel ; Tsz-Nga, Wong ; Tai-Leung, Chong Terence ; Haiqiang, Chen.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:22:y:2018:i:2:p:16:n:1.

    Full description at Econpapers || Download paper

34. Time-varying Model Averaging. (2017). Lee, Tae Hwy ; Hong, Yongmiao ; Sun, Yuying ; Zhang, Xinyu ; Wang, Shouyang.
    In: Working Papers.
    RePEc:ucr:wpaper:202001.

    Full description at Econpapers || Download paper

35. Non-linear auto-regressive models for cross-frequency coupling in neural time series. (2017). van Wassenhove, Virginie ; Doyre, Valrie ; Grabot, Laetitia ; Grenier, Yves ; Gramfort, Alexandre ; Tallot, Lucille ; la Tour, Tom Dupr.
    In: PLOS Computational Biology.
    RePEc:plo:pcbi00:1005893.

    Full description at Econpapers || Download paper

36. On the Predictive Content of Nonlinear Transformations of Lagged Autoregression Residuals and Time Series Observations. (2016). Rossen, Anja.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:236:y:2016:i:1:p:389-409.

    Full description at Econpapers || Download paper

37. Instabilités politiques, guerre et croissance économique : le cas du Liban et des pays du Moyen-Orient. (2016). Verne, Jean-Franois.
    In: Revue d'économie politique.
    RePEc:cai:repdal:redp_266_1077.

    Full description at Econpapers || Download paper

38. El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models. (2013). Ubilava, David.
    In: 2013 Conference (57th), February 5-8, 2013, Sydney, Australia.
    RePEc:ags:aare13:152202.

    Full description at Econpapers || Download paper

39. Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates. (2009). McMillan, David G..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:2:p:139-155.

    Full description at Econpapers || Download paper

40. Sup-Tests for Linearity in a General Nonlinear AR(1) Model. (2009). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian ; Christian FRANCQ ; Lajos HORVATH ; Jean-Michel ZAK, .
    In: Working Papers.
    RePEc:crs:wpaper:2009-16.

    Full description at Econpapers || Download paper

41. Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio.. (2008). Bastourre, Diego .
    In: IIE, Working Papers.
    RePEc:akh:wpaper:072.

    Full description at Econpapers || Download paper

42. Some Stability Results for Markovian Economic Semigroups. (2004). Stachurski, John ; Reffett, Kevin.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:902.

    Full description at Econpapers || Download paper

43. Non‐Linear Error Correction: Evidence for UK Interest Rates. (2004). McMillan, David G..
    In: Manchester School.
    RePEc:bla:manchs:v:72:y:2004:i:5:p:626-640.

    Full description at Econpapers || Download paper

44. Non‐linear Predictability of Value and Growth Stocks and Economic Activity. (2004). Black, Angela ; McMillan, David G.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:31:y:2004:i:3-4:p:439-474.

    Full description at Econpapers || Download paper

45. Non‐linear Predictability of UK Stock Market Returns. (2003). McMillan, David G..
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:65:y:2003:i:5:p:557-573.

    Full description at Econpapers || Download paper

46. Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS. (2003). Venetis, Ioannis ; Peel, David ; Paya, Ivan.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:65:y:2003:i:4:p:421-437.

    Full description at Econpapers || Download paper

47. Diagnostic Checking in a Flexible Nonlinear Time Series Model. (2003). Medeiros, Marcelo ; Veiga, Alvaro.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:24:y:2003:i:4:p:461-482.

    Full description at Econpapers || Download paper

48. Tests de linéarité, spécification et estimation de modèles à seuil : une analyse comparée des méthodes de Tsay et de Hansen. (2001). Ben Salem, Melika ; Perraudin, Corinne.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2001_num_148_2_6284.

    Full description at Econpapers || Download paper

49. Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model. (2001). Liu, Ying.
    In: Staff Working Papers.
    RePEc:bca:bocawp:01-23.

    Full description at Econpapers || Download paper

50. Testing for linearity. (1999). Hansen, Bruce.
    In: Working papers.
    RePEc:att:wimass:19997.

    Full description at Econpapers || Download paper

Report date: 2025-09-23 00:29:35 || Missing content? Let us know