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)

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• Exploiting the interpretability and forecasting ability of the RBF-AR model for nonlinear time series
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• A class of nonparametric ARMA models
• Optimal Detection of Exponential Component in Autoregressive Models
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• A back-fitting procedure for extensive functional coefficient autoregressive models
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• Wavelet estimation of functional coefficient regression models
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• Estimating function method for product autoregressive models
• The FAR model of Chinese consumer price index
• Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing
• Investigating asymptotic properties of vector nonlinear time series models
• A functional coefficients network autoregressive model
• A novel varying-coefficient autoregressive model with explanatory variable
• Functional coefficient autoregressive models for vector time series

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