The ACR Model: A Multivariate Dynamic Mixture Autoregression.
This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov switchin...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Blackwell Publishing
2008
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