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Modelling autoregressive processes with a shifting mean

  • Timo Terasvirta


  • Andrés González


This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modelling technique, modified from one for single hidden-layer neural network models, is developed for specification and estimation of the model. Its performance is investigated by simulation and further illustrated by two applications to macroeconomic time series.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003230.

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Length: 25
Date of creation: 01 Dec 2006
Date of revision:
Handle: RePEc:col:000094:003230
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