Markku Lanne

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  • Research by Topic
    • Noncausal and Noninvertible Time Series
    • Unit Root and Stationarity Tests
    • Near Unit Roots
    • Structural VAR
    • Volatility Modeling
    • Empirical Finance
    • Nonlinear Time Series Models
    • Other Research
  • Publications
  • Working Papers
  • Teaching
    • Advanced Econometrics II
    • Topics in Macroeconometrics

Nonlinear Time Series Models

Publications

  • Lanne, M. (2006). Nonlinear Dynamics of Interest Rate and Inflation, Journal of Applied Econometrics 21, 1157 – 1168. (working paper version)
  • Lanne, M., and P. Saikkonen (2002). Threshold Autoregressions for Strongly Autocorrelated Time Series, Journal of Business and Economic Statistics 28, 282 – 289.