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An Application of Nonlinear Time Series Forecasting

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  • Maravall, Agustin

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 1 (1983)
Issue (Month): 1 (January)
Pages: 66-74

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Handle: RePEc:bes:jnlbes:v:1:y:1983:i:1:p:66-74

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Cited by:
  1. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2009. "Graphical identification of TAR models," Statistics and Econometrics Working Papers ws097723, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
  3. Pena, Daniel & Rodriguez, Julio, 2005. "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, vol. 21(4), pages 731-748.
  4. Marian Vavra, 2012. "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance 1204, Birkbeck, Department of Economics, Mathematics & Statistics.
  5. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, School of Economics and Management, University of Aarhus.
  6. Philip Rothman, . "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
  7. Carmen Broto & Esther Ruiz, 2003. "Unobserved Component Models With Asymmetric Conditional Variances," Statistics and Econometrics Working Papers ws032003, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004 47, Society for Computational Economics.
  9. Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua, 1996. "Statistical tests of stochastic process models used in the financial theory of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 73-79, May.
  10. Brunner, Allan D. & Hess, Gregory D., 1995. "Potential problems in estimating bilinear time-series models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 663-681, May.

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