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On The Autocorrelation Structure And Identification Of Some Bilinear Time Series

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  • W. K. Li

Abstract

. For the bilinear time series Xt=βXt‐ket‐l+ev, k≥l, formulas for the first k‐1 autocorrelations of X2t are obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small, k and l may be identified using the autocorrelations of X2t. Application to more general situations is also briefly discussed.

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  • W. K. Li, 1984. "On The Autocorrelation Structure And Identification Of Some Bilinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(3), pages 173-181, May.
    • Handle: RePEc:bla:jtsera:v:5:y:1984:i:3:p:173-181
    DOI: 10.1111/j.1467-9892.1984.tb00385.x
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    Cited by:

    1. Predrag M. Popović & Hassan S. Bakouch, 2020. "A bivariate integer-valued bilinear autoregressive model with random coefficients," Statistical Papers, Springer, vol. 61(5), pages 1819-1840, October.
    2. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
    3. Martins, C. M., 1997. "A note on the autocorrelations related to a bilinear model with non-independent shocks," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 245-250, December.
    4. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.

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