Arbeitspapier
Optimal Formulations for Nonlinear Autoregressive Processes
We develop optimal formulations for nonlinear autoregressive models by representing them as linear autoregressive models with time-varying temporal dependence coefficients. We propose a parameter updating scheme based on the score of the predictive likelihood function at each time point. The resulting time-varying autoregressive model is formulated as a nonlinear autoregressive model and is compared with threshold and smooth-transition autoregressive models. We establish the information theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood parameter estimation. The performance of our model in extracting the time-varying or the nonlinear dependence for finite samples is studied in a Monte Carlo exercise. In our empirical study we present the in-sample and out-of-sample performances of our model for a weekly time series of unemployment insurance claims.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-103/III
- Klassifikation
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Asymptotic theory
Dynamic models
Observation driven time series models
Smooth-transition model
Time-Varying Parameters
Treshold autoregressive model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blasques, Francisco
Koopman, Siem Jan
Lucas, André
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blasques, Francisco
- Koopman, Siem Jan
- Lucas, André
- Tinbergen Institute
Entstanden
- 2014
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