Nonlinear Correlograms and Partial Autocorrelograms

This paper proposes neural network-based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities or multivariate integration, our autocorrelograms are simple to calculate and appear to work well in relatively small samples. Copyright 2005 Blackwell Publishing Ltd.

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Year of publication:	2005
Authors:	Anderson, Heather M. ; Vahid, Farshid
Published in:	Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 67.2005, s1, p. 957-982
Publisher:	Department of Economics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005276585