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Nonlinear Correlograms and Partial Autocorrelograms

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Author Info
Heather M. Anderson ()
Farshid Vahid ()

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Abstract

This paper proposes neural network based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities or multivariate integration, our autocorrelograms are simple to calculate and appear to work well in relatively small samples.

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File URL: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2003/wp19-03.pdf
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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 19/03.

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Length: 29 pages
Date of creation: Nov 2003
Date of revision:
Handle: RePEc:msh:ebswps:2003-19

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Related research
Keywords: Nonlinear autocorrelograms; Nonlinear time series models; Neural networks; Model selection criteria; Nonlinear partial autocorrelograms;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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References listed on IDEAS
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    Other versions:
  4. Hong, Yongmiao & Lee, Tae-Hwy, 2003. "Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1065-1121, December. [Downloadable!]
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  6. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, vol. 122(1), pages 47-79, September. [Downloadable!] (restricted)
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  7. repec:att:wimass:199520 is not listed on IDEAS
  8. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, 06. [Downloadable!] (restricted)
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  9. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November. [Downloadable!] (restricted)
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  10. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  11. James H. Stock & Mark W. Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
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  12. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February. [Downloadable!] (restricted)
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  13. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(5), pages 649-669, 09. [Downloadable!] (restricted)
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