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- W169339967 abstract "textabstractThe dynamic properties of many economic time series variables can be characterised as state-dependent or regime-switching. A popular model to describe this type of non-linear behaviour is the smooth transition model, which accommodates two regimes facilitating a gradual transition from one regime to the other. The first part of this thesis considers three extensions of the basic smooth transition model. Models are developed which allow for more than two regimes, for time-varying properties in conjunction with regime-switching behaviour, and for modeling several time series jointly. Particular emphasis is placed on the inter-related issues of specification and inference in such models. The second part of the thesis concerns the influence of atypical observations on testing procedures for smooth transition non-linearity and on the estimation of smooth transition models. Traditional methods that are used for these purposes are found to be very sensitive to such outliers. Therefore, outlier robust testing procedures and estimation methods are developed" @default.
- W169339967 created "2016-06-24" @default.
- W169339967 creator A5060028090 @default.
- W169339967 date "1999-09-16" @default.
- W169339967 modified "2023-09-24" @default.
- W169339967 title "Smooth Transition Models: Extensions and Outlier Robust Inference" @default.
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