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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/38752
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Heinen, Florian | | en_US |
| dc.date.accessioned | | 2010-05-06 | | en_US |
| dc.date.accessioned | | 2010-08-13T12:19:50Z | | - |
| dc.date.available | | 2010-08-13T12:19:50Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/38752 | | - |
| dc.description.abstract | | We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and evaluation we first treat how to choose an adequate transition function and then contribute to the evaluation stage by proposing tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by generalized impulse response functions. The finite sample properties of the proposed tests are studied via simulation. We illustrate the use of these methods by an application to real exchange rate data. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Wirtschaftswiss. Fak., Leibniz Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 445 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Nonlinearities | | en_US |
| dc.subject.keyword | | Smooth transition | | en_US |
| dc.subject.keyword | | Specification testing | | en_US |
| dc.subject.keyword | | Real exchange rates | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Nichtlineares Verfahren | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Kaufkraftparität | | en_US |
| dc.title | | Evaluating a class of nonlinear time series models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 625485416 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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