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Persistent link: https://www.econbiz.de/10015374598
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...
Persistent link: https://www.econbiz.de/10014217546
Persistent link: https://www.econbiz.de/10009489714
This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q...
Persistent link: https://www.econbiz.de/10008669983
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...
Persistent link: https://www.econbiz.de/10008669985
Persistent link: https://www.econbiz.de/10003818469
Persistent link: https://www.econbiz.de/10003724354
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...
Persistent link: https://www.econbiz.de/10012723988
In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...
Persistent link: https://www.econbiz.de/10013147243
This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...
Persistent link: https://www.econbiz.de/10013072628