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dc.contributor.authorHeinen, Florianen
dc.date.accessioned2010-05-06-
dc.date.accessioned2010-08-13T12:19:50Z-
dc.date.available2010-08-13T12:19:50Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x445en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.jelC52en
dc.subject.ddc330en
dc.subject.keywordNonlinearitiesen
dc.subject.keywordSmooth transitionen
dc.subject.keywordSpecification testingen
dc.subject.keywordReal exchange ratesen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwNichtlineares Verfahrenen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwKaufkraftparitäten
dc.titleEvaluating a class of nonlinear time series models-
dc.type|aWorking Paperen
dc.identifier.ppn625485416en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-445en

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