Identification of the coefficients in a non-linear time series of the quadratic type

DOI10.1016/0304-4076(85)90140-XzbMath0584.62153MaRDI QIDQ1069633

Melvin J. Hinich, Douglas M. Patterson

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

third-order cumulantquadratic modelnon-linear time seriesbicovariancefinite parameter modelsecond- order Volterra expansion of a stable non-linear filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Related Items

Quadratic prediction of time series via auto-cumulants ⋮ Empirical chaotic dynamics in economics

Cites Work

• A STUDY OF THE APPLICATION OF STATE-DEPENDENT MODELS IN NON-LINEAR TIME SERIES ANALYSIS
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
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