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Robustness of alternative non‐linearity tests for SETAR models
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References

  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1983Forecasting with Univariate Box‐Jenkins Models688 cited
  • 1998Testing and Modeling Multivariate Threshold Models677 cited
  • 1997Inference in TAR Models636 cited
  • 1994Some advances in non‐linear and adaptive modelling in time‐series361 cited
  • 1998Forecasting the U.S. Unemployment Rate294 cited
  • 1996On a double-threshold autoregressive heteroscedastic time series model211 cited
  • 2001Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence176 cited
  • 1999A Monte Carlo study of the forecasting performance of empirical SETAR models137 cited
  • 1994THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1116 cited
  • 2002Rethinking the East Asian Miracle95 cited
  • 2001Evaluating forecasts from SETAR models of exchange rates61 cited
  • 1999A Non-Linear Stochastic Asset Model for Actuarial Use34 cited
  • 2000Small sample properties of the conditional least squares estimator in SETAR models31 cited

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  • 1988A Comparison of Likelihood Ratio Test and CUSUM Test for Threshold Autoregression20 cited
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