Evaluating a class of nonlinear time series models

We consider a recently proposed class of nonlinear time series models and focus mainly onmisspecification testing for models of such type. Following the modeling cycle for nonlineartime series models of specification, estimation and evaluation we first treat how to choosean adequate transition function and then contribute to the evaluation stage by proposing testsagainst serial correlation, no remaining nonlinearity and parameter constancy.[...]

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Year of publication:	2010-04-01
Authors:	Heinen, Florian
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Wechselkurs \| Test \| Glättung \| Smoothing \| Transitionssystem \| transition \| Spezifikation \| Specification testing

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1 Introduction
2 The modeling cycle
3 Choosing the transition function
4 Residual based misspecification tests
4.1 Test of serial independence
4.2 Test of no remaining nonlinearity
4.3 Test of parameter constancy
4.4 Generalized impulse response function
5 Finite sample properties
6 Modeling real exchange rates
7 Conclusion
A Appendix

Persistent link: https://www.econbiz.de/10005870742