Arbeitspapier
Evaluating a class of nonlinear time series models
We consider a recently proposed class of nonlinear time series models and focus mainly on misspecification testing for models of such type. Following the modeling cycle for nonlinear time series models of specification, estimation and evaluation we first treat how to choose an adequate transition function and then contribute to the evaluation stage by proposing tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by generalized impulse response functions. The finite sample properties of the proposed tests are studied via simulation. We illustrate the use of these methods by an application to real exchange rate data.
- Language
-
Englisch
- Bibliographic citation
-
Series: Diskussionsbeitrag ; No. 445
- Classification
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
- Subject
-
Nonlinearities
Smooth transition
Specification testing
Real exchange rates
Zeitreihenanalyse
Nichtlineares Verfahren
Statistischer Test
Theorie
Schätzung
Kaufkraftparität
- Event
-
Geistige Schöpfung
- (who)
-
Heinen, Florian
- Event
-
Veröffentlichung
- (who)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Heinen, Florian
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2010
Other Objects (12)
Nonlinear time series analysis
Monitoring multivariate nonlinear time series
Nonlinear time series and signal processing
Cyclic nonlinear correlation analysis for time series
Advances in applied nonlinear time series modeling
Information criteria for nonlinear time series models
Information criteria for nonlinear time series models
Nonlinear time series modelling in empirical finance
Nonlinear time series : nonparametric and parametric methods
Nonlinear time series : nonparametric and parametric methods
Bootstrap of Kernel Smoothing in Nonlinear Time Series
Bootstrap of kernel smoothing in nonlinear time series
Nonlinear time series analysis
Monitoring multivariate nonlinear time series
Nonlinear time series and signal processing
Cyclic nonlinear correlation analysis for time series
Advances in applied nonlinear time series modeling
Information criteria for nonlinear time series models
Information criteria for nonlinear time series models
Nonlinear time series modelling in empirical finance
Nonlinear time series : nonparametric and parametric methods
Nonlinear time series : nonparametric and parametric methods
Bootstrap of Kernel Smoothing in Nonlinear Time Series
Bootstrap of kernel smoothing in nonlinear time series
Nonlinear time series analysis
Monitoring multivariate nonlinear time series
Nonlinear time series and signal processing
Cyclic nonlinear correlation analysis for time series
Advances in applied nonlinear time series modeling
Information criteria for nonlinear time series models
Information criteria for nonlinear time series models
Nonlinear time series modelling in empirical finance
Nonlinear time series : nonparametric and parametric methods
Nonlinear time series : nonparametric and parametric methods
Bootstrap of Kernel Smoothing in Nonlinear Time Series