Potential problems in estimating bilinear time-series models

DOI10.1016/0165-1889(94)00798-MMaRDI QIDQ1349755zbMATH OpenOpenAlexFDO

Authors Allan D. Brunner, Gregory D. Hess

Publication date 27 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(94)00798-m

zbMATH Keywords

Nonlinear time-series modelsBilinear time-series modelsFinite-sample distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• On the problem of model selection in bilinear time series analyses
• Some remarks on bilinear time series models
• On the identification problem for bilinear time series models
• J. of time series anal.
• Theory of Bilinear Time Series Models
• Linear regressions with bilinear time series errors
• Robust estimation of bilinear time series models

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 194951 (Why is no real title available?)
• An introduction to bispectral analysis and bilinear time series models
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• On the first-order bilinear time series model
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• The Student's t Approximation in a Stationary First Order Autoregressive Model
• Volterra series and geometric control theory
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

Cited in

(3)

• Identification of stable elementary bilinear time-series model
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• An investigation of tests for linearity and the accuracy of likelihood based inference using random fields

This page was built for publication: Potential problems in estimating bilinear time-series models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1349755)