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dc.contributor.authorHeinen, Florianen_US
dc.date.accessioned2010-05-06en_US
dc.date.accessioned2010-08-13T12:19:50Z-
dc.date.available2010-08-13T12:19:50Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/38752-
dc.description.abstractWe 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.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 445en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordNonlinearitiesen_US
dc.subject.keywordSmooth transitionen_US
dc.subject.keywordSpecification testingen_US
dc.subject.keywordReal exchange ratesen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwKaufkraftparitäten_US
dc.titleEvaluating a class of nonlinear time series modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn625485416en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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