Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series

Pavel Cizek and Chao Koo
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Chao Koo: Tilburg University, Center For Economic Research

No 2017-017, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: change point; Heteroscedasticity; local linear fitting; nonlinear time series; varying-coefficient models (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Journal Article: Jump-preserving varying-coefficient models for nonlinear time series (2021)
Working Paper: Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series (2017)
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