Transformed polynomials for nonlinear autoregressive models of the conditional mean

DOI10.1111/JTSA.12060MaRDI QIDQ2936571zbMATH OpenOpenAlexFDO

Authors Francisco Blasques

Publication date 17 December 2014

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

Full work available at URL http://papers.tinbergen.nl/12133.pdf

zbMATH Keywords

nonlinear autoregressionpolynomialsstabilitystationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics in engineering and industry; control charts (62P30)

Recommendations

• scientific article; zbMATH DE number 2150979
• Modelling and analysis of non-linear time series
• On Backshift-Operator polynomial transformations to stationarity for nonstationary time series and their aggregates
• Some generalizations on the algebra of I(1) processes
• Polynomial spline estimation for nonparametric (auto-)regressive models

Cites work

• A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA
• A new look at the statistical model identification
• A new weak dependence condition and applications to moment inequalities
• Accuracy of Numerical Solutions Using the Euler Equation Residuals
• Asymptotic Statistics
• Bias of the corrected AIC criterion for underfitted regression and time series models
• Comparing solution methods for dynamic equilibrium economies
• Confidence Intervals for Nonparametric Curve Estimates
• Data mining in Canadian lynx time series
• Discrete material optimization of general composite shell structures
• Dynamic General Equilibrium Modelling
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3191390 (Why is no real title available?)
• Metric entropy and approximation
• Model Selection and Multimodel Inference
• Modelling Nonlinear Economic Time Series
• Non-linear time series models for non-linear random vibrations
• Nonlinear and stable perturbation-based approximations
• Projection methods for solving aggregate growth models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Smoothness of the Policy Function in Discrete Time Economic Models
• Solving dynamic general equilibrium models using a second-order approximation to the policy function

Cited in

(3)

• On Backshift-Operator polynomial transformations to stationarity for nonstationary time series and their aggregates
• Projected polynomial autoregression for prediction of stationary time series
• scientific article; zbMATH DE number 2150979 (Why is no real title available?)

This page was built for publication: Transformed polynomials for nonlinear autoregressive models of the conditional mean

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2936571)