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Original Articles

Higher-order residual analysis for AR-ARCH models with the TR test

Pages 749-752 | Published online: 06 Oct 2010

References

  • Doornik , J. A. 1998 . Object-Oriented Matrix Programming using Ox 2.0 , London: and Oxford : Timberlake Consultants Ltd . Available online at:
  • Neftci , S. 1984 . Are economic time series asymmetric over the business cycle? . Journal of Political Economy , 92 : 307 – 328 .
  • Ramsey , J. B. and Rothman , P. 1996 . Time irreversibility and business cycle asymmetry . Journal of Money, Credit and Banking , 28 : 1 – 21 .
  • Ramsey , J. B. and Rothman , P. 1997 . Fortran programs for running the TR test: a guide and examples . Studies in Nonlinear Dynamics and Econometrics , 1 : 203 – 208 .
  • Rothman , P. 1998 . “ Higher-order residual analysis for simple bilinear and threshold autoregressive models with the TR Test ” . In Nonlinear Time Series Analysis of Economic and Financial Data , Edited by: Rothman , P. Kluwer Academic Press .

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