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In this thesis, I relax McCabe and Smith (1998)’s assumptions to reconsider the power properties of McCabe and Tremayne (1995, MT) test for the difference stationarity of a times series. Without the independence assumption between the rand
In this thesis, I relax McCabe and Smith (1998)’s assumptions to reconsider the power properties of McCabe and Tremayne (1995, MT) test for the difference stationarity of a times series. Without the independence assumption between the rand
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/zccrve
Publikováno v:
Journal of Time Series Analysis. 42:406-430
Classical threshold models assume that threshold values are constant and stable, which appears overly restrictive and unrealistic. In this article, we extend Hansen's (2000) constant threshold regression model by allowing for a time‐varying thresho
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06cb89795a47c69428f445610fff907b
https://doi.org/10.1111/jtsa.12574
https://doi.org/10.1111/jtsa.12574
