Stefan Lundbergh
Biographic Data
| ID | 8920712 |
|---|---|
| NAME | Stefan Lundbergh |
| GIVEN NAMES | Stefan |
| FAMILY NAME | Lundbergh |
| SIGNATURE | LUNDBERGH S |
| AFFILIATIONS | Stockholm School of Economics |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2003 |
| H-INDEX | 0 |
Time-Varying Smooth Transition Autoregressive Models
Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo …
No prominent works on this page.
Time-Varying Smooth Transition Autoregressive Models
Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo …
Autoregressive integrated moving average (1 work) · Autoregressive model (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economic theories and models (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Monte Carlo method (1 work) · Nonlinear system (1 work)