Index models with integrated time series

DOI10.1016/S0304-4076(02)00220-8zbMath1023.62086OpenAlexW2077962893MaRDI QIDQ1870096

Joon Y. Park, Yoosoon Chang

Publication date: 4 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00220-8

zbMATH Keywords

Brownian motionBrownian local timeregressionneural network modelintegrated time seriesindex modelsmooth transition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites Work

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• Canonical Cointegrating Regressions
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonstationary Binary Choice
• Nonlinear Regressions with Integrated Time Series
• Nonlinear Econometric Models with Deterministically Trending Variables
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models

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