IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v5y1984i3p173-181.html
   My bibliography  Save this article

On The Autocorrelation Structure And Identification Of Some Bilinear Time Series

Author

Listed:
  • 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.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1984.tb00385.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1984.tb00385.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
    3. 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.
    4. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:5:y:1984:i:3:p:173-181. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.