Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses

DOI10.1111/1467-9892.00217zbMath0972.62073OpenAlexW2137406911MaRDI QIDQ2740102

Rong Chen, Lon-Mu Liu

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/61295

zbMATH Keywords

threshold modelslocal linear estimationlinearity testsone-sided kernelscontinuity tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (8)

Functional coefficient autoregressive conditional root model ⋮ Optimal Detection of Exponential Component in Autoregressive Models ⋮ Wavelet estimation of functional coefficient regression models ⋮ Investigating asymptotic properties of vector nonlinear time series models ⋮ Functional coefficient autoregressive models for vector time series ⋮ Spline estimation of functional coefficient regression models for time series with correlated errors ⋮ Exploiting the interpretability and forecasting ability of the RBF-AR model for nonlinear time series ⋮ Partially linear functional-coefficient dynamic panel data models: sieve estimation and specification testing

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