Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

A new look at the statistical model identification

1974 • 46,507 citations

Estimating the Dimension of a Model

1978 • 43,634 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Modeling by shortest data description

1978 • 5,959 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

Nonlinear Regression Analysis and Its Applications

1988 • 3,881 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Non-linear time series. A dynamical system approach

1990 • 1,974 citations

Nonlinear Regression

1989 • 1,846 citations

Threshold Models in Non-linear Time Series Analysis

1983 • 1,541 citations

Non-linear Time Series

1990 • 1,330 citations

Testing linearity against smooth transition autoregressive models

1988 • 1,322 citations

Threshold Autoregression, Limit Cycles and Cyclical Data

1980 • 1,177 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

Non-linear and non-stationary time series analysis

1988 • 1,049 citations

The Econometric Analysis of Time Series.

1983 • 979 citations

Characterizing nonlinearities in business cycles using smooth transition autoregressive models

1992 • 911 citations

Testing and Modeling Threshold Autoregressive Processes

1989 • 863 citations

Misspecification Tests in Econometrics

1989 • 643 citations

Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

1977 • 580 citations

ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

1986 • 571 citations

Non-Linear and Non-Stationary Time Series Analysis

1989 • 531 citations

The Econometric Analysis of Time Series.

1991 • 522 citations

On Conditional Least Squares Estimation for Stochastic Processes

1978 • 451 citations

Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model

1981 • 427 citations

Misspecification tests in econometrics

1988 • 378 citations

Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)

1991 • 213 citations

Estimation in nonlinear time series models

1986 • 207 citations

Identification of nonlinear time series: First order characterization and order determination

1990 • 191 citations

2 Non-linear time series models and dynamical systems

1985 • 179 citations

Methods for Determining the Order of an Autoregressive-Moving Average Process: A Survey

1985 • 150 citations

Tests for Departure from Normality

1992 • 135 citations

Some Comments on the Canadian Lynx Data

1977 • 110 citations

Specification Tests Based on Artificial Regressions

1990 • 91 citations

The Approximate Slopes of Econometric Tests

1981 • 82 citations

Tests for departure from normality in the case of linear stochastic processes

1961 • 78 citations

A STUDY OF THE APPLICATION OF STATE‐DEPENDENT MODELS IN NON‐LINEAR TIME SERIES ANALYSIS

1984 • 54 citations

A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA

1987 • 26 citations

Functional Identification in Nonlinear Time Series

1991 • 24 citations

SUBSET THRESHOLD AUTOREGRESSION WITH APPLICATIONS

1990 • 15 citations

Specification Tests Based on Artificial Regressions

1990 • 12 citations

Deleted Work

1955 • 0 citations