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Potential problems in estimating bilinear time-series models

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  • Brunner, Allan D.
  • Hess, Gregory D.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 19 (1995)
Issue (Month): 4 (May)
Pages: 663-681

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Handle: RePEc:eee:dyncon:v:19:y:1995:i:4:p:663-681
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Nankervis, J C & Savin, N E, 1988. "The Student's t Approximation in a Stationary First Order Autoregressive Model," Econometrica, Econometric Society, vol. 56(1), pages 119-45, January.
  2. Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
  3. Weiss, Andrew A, 1986. "ARCH and Bilinear Time Series Models: Comparison and Combination," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 59-70, January.
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Cited by:

  1. W. Miles, 2008. "Boom–Bust Cycles and the Forecasting Performance of Linear and Non-Linear Models of House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 36(3), pages 249-264, April.
  2. Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics.
  3. Roberto Leon-Gonzalez & Fuyu Yang, 2014. "Bayesian Inference and Forecasting in the Stationary Bilinear Model," University of East Anglia Applied and Financial Economics Working Paper Series 055, School of Economics, University of East Anglia, Norwich, UK..

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