Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling
In this paper, the Local Global Neural Networks model is proposed within the context of time series models. This formulation encompasses some already existing nonlinear models and also admits the Mixture of Experts approach. We place emphasis on the linear expert case and extensively discuss the theoretical aspects of the model: stationarity conditions, existence, consistency and asymptotic normality of the parameter estimates, and model identifiability. A model building strategy is also considered and the whole procedure is illustrated with two real time-series.
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Volume (Year): 99 (2004)
Issue (Month): (December)
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- Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999.
"A simple variable selection technique for nonlinear models,"
SFB 373 Discussion Papers
1999,26, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999. "A simple variable selection technique for nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 296, Stockholm School of Economics, revised 06 Apr 2000.
- Potscher, Benedikt M. & Prucha, Ingmar R., 1986. "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, vol. 32(2), pages 219-251, July.
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- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002.
"Building Neural Network Models for Time Series: A Statistical Approach,"
Textos para discussão
461, Department of Economics PUC-Rio (Brazil).
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002. "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance 508, Stockholm School of Economics.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
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