A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS

By Gianluigi Rech, Timo Teräsvirta, Rolf Tschernig. 2001

52 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3b582f09d2489c06d59635ee69747cdb3d1dd040

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Analytical Chemistry

1. Marcelo C. Medeiros
2. Michael Mcaleer
3. Jianhua Z. Huang
4. Lijian Yang

In Finance

1. Marcelo C. Medeiros
2. Michael Mcaleer
3. Jianhua Z. Huang
4. Lijian Yang
5. S. Ling
6. Bernardo da Veiga
7. Christian Francq
8. Jean-Michel Zakoian

In Statistics and Probability

1. Lijian Yang
2. Michael Mcaleer
3. Marcelo C. Medeiros
4. Jianhua Z. Huang
5. Li Wang
6. Shujie Ma
7. Tetsuya Takaishi
8. Rong Liu

Citations in the corpus

• Identification of non‐linear additive autoregressive models (2004, methodology): “Stronger conditions involving β-mixing coefficients have been used in Yao and Tong (1994), Tjøstheim and Auestad (1994a) and Tschernig and Yang (2000) to show consistency of a certain lag selection criterion. Assumption (c) is a mild condition on the marginal density of Xt (note that Xt is stationar”
• A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008, methodology): “…approach, which is adopted here, is to consider ak-th order polynomial approximation to the nonlinear component of the DGP, as proposed in Rech, Ter̈asvirta, and Tschernig (2001), and applied with success in Medeiros, Teräsvirta, and Rech (2006), Medeiros and Veiga (2005), and…”