Estimating the Lag Structure of a Nonlinear Time Series Model

DOI10.2307/2286353zbMath0446.62096OpenAlexW4248884016MaRDI QIDQ3891638

Melvin J. Hinich

Publication date: 1979

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2286353

zbMATH Keywords

time seriescross bispectrumnonlinear distributed lagquadratic filterstationary Gaussian

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (3)

On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators ⋮ A generalization of some classical time series tools ⋮ Estimation of time delay and lag relationship of quadratic systems

This page was built for publication: Estimating the Lag Structure of a Nonlinear Time Series Model