Up a level |
2002
Psaradakis, Zacharias and Spagnolo, N. (2002) Power properties of nonlinearity tests for time series with Markov regimes. Studies in Nonlinear Dynamics & Econometrics 6 (3), ISSN 1081-1826.
2003
Psaradakis, Zacharias and Spagnolo, N. (2003) On the determination of the number of regimes in Markov-switching autoregressive models. Journal of Time Series Analysis 24 , pp. 237-252. ISSN 0143-9782.
2006
Psaradakis, Zacharias and Spagnolo, N. (2006) Joint determination of the state dimension and autoregressive order for models with Markov regime switching. Journal of Time Series Analysis 27 (5), pp. 753-766. ISSN 0143-9782.
July 2009
Psaradakis, Zacharias and Sola, Martin and Spagnolo, F. and Spagnolo, N. (2009) Selecting nonlinear time series models using information criteria. Journal of Time Series Analysis 30 (4), pp. 369-394. ISSN 0143-9782.