Arbeitspapier
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic sequence. The great flexibility of the transformed polynomial functions makes them interesting for both parametric and semi-nonparametric autoregressive modeling. This flexibility is established by showing that transformed polynomial sieves are sup-norm-dense on the space of continuous functions and offer appropriate convergence speeds on Holder function spaces.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 12-133/III
- Classification
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Wirtschaft
Econometrics
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
time-series
nonlinear autoregressive models
semi-nonparametric models
method of sieves.
Nichtlineares Verfahren
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Blasques, Francisco
- Event
-
Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Blasques, Francisco
- Tinbergen Institute
Time of origin
- 2012
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