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.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 12-133/III

Klassifikation
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
Thema
time-series
nonlinear autoregressive models
semi-nonparametric models
method of sieves.
Nichtlineares Verfahren
Stochastischer Prozess
Theorie

Ereignis
Geistige Schöpfung
(wer)
Blasques, Francisco
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2012

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Blasques, Francisco
  • Tinbergen Institute

Entstanden

  • 2012

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