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Tuesday, May 22, 2007

Nonlinear time series model

Galvao of Queen Mary has proposed a new nonlinear model, combining MIDAS and STAR. MIDAS stands for mixed data sampling and was first proposed by Ghysels. It is a model where the regressors appear at a higher frequency than the regressand. STAR stands for smooth transition AR model, which is a basic switching model.

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