Trending time-varying coefficient time series models with serially correlated errors

Author:

Cai Zongwu

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference46 articles.

1. Akdeniz, L., Altay-Salih, A., Caner, M., 2003. Time-varying betas help in asset pricing: the threshold CAPM. Studies in Nonlinear Dynamics and Econometrics 6(4), Article 1.

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3. A two-stage approach to additive time series models;Cai;Statistica Neerlandica,2002

4. Local quasi-likelihood approach to varying-coefficient discrete-valued time series models;Cai;Journal of Nonparametric Statistics,2003

5. Cai, Z., Chen, R., 2005. Nonlinear seasonal time series models. In: Fomby, T., Terrell, D. (Eds.), Advances in Econometrics Volume Honoring Engle and Granger, Volume B, in press.

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