Modelling autoregressive processes with a shifting mean

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 modeling techniq

Detalles Bibliográficos
Autores Principales: Terasvirta, Timo, González-Gómez, Andrés
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2006
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5438
id oai:RI-BanRep:20.500.12134-5438
recordtype dspace
spelling oai:RI-BanRep:20.500.12134-54382019-04-16T16:14:27Z Modelling autoregressive processes with a shifting mean Terasvirta, Timo González-Gómez, Andrés C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes C52 - Model Evaluation, Validation, and Selection Deterministic shift Nonlinear autoregression Nonstationarity Nonlinear trend Structural change Análisis de series de tiempo Modelos econométricos C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión C52 - Evaluación, contraste y selección de modelos 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 modeling techniq 2006-12-01 2006-12-01 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/5438 http://hdl.handle.net/20.500.12134/5438 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 420 https://ideas.repec.org/p/bdr/borrec/420.html https://ideas.repec.org/p/col/000094/003230.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Español (Spanish)
topic C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
C52 - Model Evaluation, Validation, and Selection
Deterministic shift
Nonlinear autoregression
Nonstationarity
Nonlinear trend
Structural change
Análisis de series de tiempo
Modelos econométricos
C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
C52 - Evaluación, contraste y selección de modelos
spellingShingle C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
C52 - Model Evaluation, Validation, and Selection
Deterministic shift
Nonlinear autoregression
Nonstationarity
Nonlinear trend
Structural change
Análisis de series de tiempo
Modelos econométricos
C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
C52 - Evaluación, contraste y selección de modelos
Terasvirta, Timo
González-Gómez, Andrés
Modelling autoregressive processes with a shifting mean
description 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 modeling techniq
format Documento de trabajo (Working Paper)
author Terasvirta, Timo
González-Gómez, Andrés
author_facet Terasvirta, Timo
González-Gómez, Andrés
author_sort Terasvirta, Timo
title Modelling autoregressive processes with a shifting mean
title_short Modelling autoregressive processes with a shifting mean
title_full Modelling autoregressive processes with a shifting mean
title_fullStr Modelling autoregressive processes with a shifting mean
title_full_unstemmed Modelling autoregressive processes with a shifting mean
title_sort modelling autoregressive processes with a shifting mean
publisher Banco de la República
publishDate 2006
url http://repositorio.banrep.gov.co/handle/20.500.12134/5438
_version_ 1637299208312586240
score 10,762939