Potential problems in estimating bilinear time-series models

DOI10.1016/0165-1889(94)00798-MzbMath0875.90215OpenAlexW2062187186MaRDI QIDQ1349755

Gregory D. Hess, Allan D. Brunner

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& 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) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

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 ⋮ Identification of stable elementary bilinear time-series model

Cites Work

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• An introduction to bispectral analysis and bilinear time series models
• Volterra series and geometric control theory
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• The Student's t Approximation in a Stationary First Order Autoregressive Model
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• On the first-order bilinear time series model
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS

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