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This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
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theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic … losses ; voter model ; Choquet theory ; ergodic decomposition ; re-scaling …
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