An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfac...

The magnitude of power fluctuations at large offshore wind farms has a significant impact on the control and management strategies of their power output. If focusing on the minute scale, one observes successive periods with smaller and larger power fluctuations. It seems that different regimes yield different behaviours of the wind power output. This paper concentrates on the statistical modell...

This paper revisits the well-known vector autoregressive (VAR) evidence on real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate results in a narrow sense using EViews. In wide sense, we extend his study working with smooth transition VAR framework that allows for business cycle-dependent macroeconomic responses to an shock. find significantly strong...

This paper analyzes the properties of a class of estimators, tests, and con…dence sets (CS’s) when the parameters are not identi…ed in parts of the parameter space. Speci…cally, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter : This includes log likelihood, quasi-log likelihood, and least squares criterion functions. We determine the as...

A nonparametric regression estimator is introduced which adapts to the smoothness of the unknown function being estimated. This property allows the new estimator to automatically achieve minimal bias over a large class of locally smooth functions without changing the rate at which the variance converges. Optimal convergence rates are shown to hold for both i.i.d. data and autoregressive process...

This paper analyzes the properties of a class of estimators, tests, and con…dence sets (CS’s) when the parameters are not identi…ed in parts of the parameter space. Speci…cally, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter : This includes log likelihood, quasi-log likelihood, and least squares criterion functions. We determine the as...

In this paper a mathematical model is developed based on current biological concepts of the lamprey GnRH-III involved in LH and FSH concentration . The physiologic role played by GnRH-III on gonadotropin secretion in mammalian species is controversial. Although GnRH-III is a weak GnRH agonist, early research in mammalian species suggested that GnRH-III can selectively stimulate the secretion of...

We introduce two forecasting methods based on a general class of non-linear models called ‘State-Dependent Models’ (SDMs) for tourism demand forecasting. Using Monte Carlo simulation which generated data from linear and models, we evidence how estimations SDMs can capture the level shifts pattern nonlinearity in data. Next, apply new to forecast growth Japan. The forecasts are compared with cla...

Given the increasing importance of achieving low and stable inflation rate during the last decades, adopting the most suitable practices to implement monetary policies has always been of concern by monetary authorities of different countries. Inflation targeting (IT) regime is the most recent strategy to guide monetary policies that have been introduced following the occurrence of exchange rate...