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2006-01-20Buch DOI: 10.18452/3710
Functional coefficient autoregressive models
dc.contributor.authorChen, Rong
dc.date.accessioned2017-06-15T21:52:35Z
dc.date.available2017-06-15T21:52:35Z
dc.date.created2006-01-20
dc.date.issued2006-01-20
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4362
dc.description.abstractIn this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a rich class of models that includes many successful parametric nonlinear time series models such as the threshold AR models of Tong (1983), exponential AR models of Haggan and Ozaki (1978) and many others. We propose a local linear estimation procedure for estimating the coefficient functions and study its asymptotic properties. In addition, we propose two testing procedures. The first one tests whether all the coefficient functions are constant (i.e. whether the process is linear). The second one tests if all the coefficient functions are continuous, (i.e. if any threshold type of nonlinearity presents in the process). Some simulation results are presented.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectContinuity testeng
dc.subjectLinearity testeng
dc.subjectLocal linear estimationeng
dc.subjectNonparametric estimationeng
dc.subjectOne sided kerneleng
dc.subjectThreshold Modeleng
dc.subject.ddc330 Wirtschaft
dc.titleFunctional coefficient autoregressive models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056443
dc.identifier.doihttp://dx.doi.org/10.18452/3710
dc.subject.dnb17 Wirtschaft
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1998
dc.title.subtitleestimation and tests of hypotheses
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1998,10

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