Liu, Jun M.; Chen, Rong; Yao, Qiwei - London School of Economics (LSE) - 2010
In this paper a class of nonparametric transfer function models is proposed to model nonlinear relationships between … 'input' and 'output' time series. The transfer function is smooth with unknown functional forms, and the noise is assumed to … be a stationary autoregressive-moving average (ARMA) process. The nonparametric transfer function is estimated jointly …