Functional coefficient autoregressive models: estimation and tests of hypotheses

DOI10.1111/1467-9892.00217MaRDI QIDQ2740102zbMATH OpenOpenAlexFDO

Authors Rong Chen, L.-M. Liu

Publication date 16 September 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/61295

zbMATH Keywords

continuity testslinearity testslocal linear estimationone-sided kernelsthreshold models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Functional coefficient autoregressive (FAR) models of the form NEWLINE\[NEWLINEX_t=f_1(X_{t-d})X_{t-1}+\cdots +f_p(X_{t-d})X_{t-p}+\varepsilon_tNEWLINE\]NEWLINE are considered. The authors propose a local linear estimator for estimating the coefficient functions nonparametrically. Testing procedures to detect if the coefficient functions are constant functions and if there are any discontinuous points in coefficient functions are developed. Simulation studies and the analysis of an example are given.

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