Is non-linearity a permanent feature? Evidence from recursive and rolling estimation


Using recursive and rolling estimation evidence is reported that STAR non-linearity is ever present within the DJIA. Further, the parameters of interest exhibit some temporal dependence. These results suggest that non-linearity is a regular feature of the data that should be modelled and used in forecasting, although variation in parameter values may need to be incorporated.

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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