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Common large innovations across nonlinear time series
Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2002
nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this … model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as … not the other way around, and also that there is no common nonlinearity across the unemployment variables. …
Persistent link: https://www.econbiz.de/10005696119
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Nonlinearities and outliers: robust specification of STAR models
Escribano, A.; Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998
Outliers and nonlinearity may easily be mistaken. This paper uses Monte Carlo methods to examine and compare the …
Persistent link: https://www.econbiz.de/10008584751
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Neural networks as econometric tool
Kaashoek, J.F.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000
The flexibility of neural networks to handle complex data patterns of economic variables is well known. In this survey we present a brief introduction to a neural network and focus on two aspects of its flexibility . First, a neural network is used to recover the dynamic properties of a...
Persistent link: https://www.econbiz.de/10008584789