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In this paper we present a very brief description of least mean square algorithm with applications in time-series analysis of economic and financial time series. We present some numerical applications; forecasts for the Gross Domestic Product growth rate of UK and Italy, forecasts for S&P 500...
Persistent link: https://www.econbiz.de/10013138755
In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econometrics are presented and some of their properties discussed. This includes two models based on universal approximators: the Kolmogorov-Gabor polynomial model and...
Persistent link: https://www.econbiz.de/10014199417
The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are introduced and their properties discussed. These include the smooth transition regression model, the switching regression model whose univariate counterpart is called threshold...
Persistent link: https://www.econbiz.de/10014023698
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011443686
This paper aims to introduce a nonlinear model to forecast macroeconomic time series using a large number of predictors. The technique used to summarize the predictors in a small number of variables is Principal Component Analysis (PC), while the method used to capture nonlinearity is artificial...
Persistent link: https://www.econbiz.de/10014171847
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...
Persistent link: https://www.econbiz.de/10014213937
Persistent link: https://www.econbiz.de/10009242396
Persistent link: https://www.econbiz.de/10003885269
This paper proposes a test for linearity against exponential smooth transition models with endogenous right-hand-side variables: to the very best of our knowledge, this class of models is new to the literature. By Monte Carlo analysis the test is shown to have good finite sample properties
Persistent link: https://www.econbiz.de/10014176554
We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The Midastar model of the first kind is designed for a low frequency target variable and a high frequency threshold variable. The proposed model can detect threshold effects...
Persistent link: https://www.econbiz.de/10014240508