IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v50y2006i12p3547-3566.html
   My bibliography  Save this article

Functional coefficient autoregressive models for vector time series

Author

Listed:
  • Harvill, Jane L.
  • Ray, Bonnie K.

Abstract

No abstract is available for this item.

Suggested Citation

  • Harvill, Jane L. & Ray, Bonnie K., 2006. "Functional coefficient autoregressive models for vector time series," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3547-3566, August.
    • Handle: RePEc:eee:csdana:v:50:y:2006:i:12:p:3547-3566
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(05)00163-5
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying‐coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80, February.
    2. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    3. Rong Chen & Lon‐Mu Liu, 2001. "Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 151-173, March.
    4. An, H. Z. & Chen, S. G., 1997. "A note on the ergodicity of non-linear autoregressive model," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 365-372, June.
    5. Jianhua Z. Huang & Haipeng Shen, 2004. "Functional Coefficient Regression Models for Non‐linear Time Series: A Polynomial Spline Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(4), pages 515-534, December.
    6. Härdle, Wolfgang & Tsybakov, A. & Yang, L., 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
    2. Patrick, Joshua D. & Harvill, Jane L. & Hansen, Clifford W., 2016. "A semiparametric spatio-temporal model for solar irradiance data," Renewable Energy, Elsevier, vol. 87(P1), pages 15-30.
    3. Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.
    4. Dette, Holger & Weißbach, Rafael, 2009. "A bootstrap test for the comparison of nonlinear time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1339-1349, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Čížek, Pavel & Koo, Chao Hui, 2021. "Jump-preserving varying-coefficient models for nonlinear time series," Econometrics and Statistics, Elsevier, vol. 19(C), pages 58-96.
    2. Cai Zongwu & Chen Linna & Fang Ying, 2012. "A New Forecasting Model for USD/CNY Exchange Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-20, September.
    3. Harvill, Jane L. & Ray, Bonnie K., 2005. "A note on multi-step forecasting with functional coefficient autoregressive models," International Journal of Forecasting, Elsevier, vol. 21(4), pages 717-727.
    4. Bruno, Giancarlo, 2008. "Forecasting Using Functional Coefficients Autoregressive Models," MPRA Paper 42335, University Library of Munich, Germany.
    5. Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
    6. Man Wang & Kun Chen & Qin Luo & Chao Cheng, 2018. "Multi-Step Inflation Prediction with Functional Coefficient Autoregressive Model," Sustainability, MDPI, vol. 10(6), pages 1-16, May.
    7. Tracy Wu & Haiqun Lin & Yan Yu, 2011. "Single-index coefficient models for nonlinear time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(1), pages 37-58.
    8. Min Gan & C.L. Philip Chen & Long Chen & Chun-Yang Zhang, 2016. "Exploiting the interpretability and forecasting ability of the RBF-AR model for nonlinear time series," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(8), pages 1868-1876, June.
    9. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    10. Wong, Heung & Ip, Wai-cheung & Zhang, Riquan, 2008. "Varying-coefficient single-index model," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1458-1476, January.
    11. Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
    12. Gan, Li & Hsiao, Cheng & Xu, Shu, 2014. "Model specification test with correlated but not cointegrated variables," Journal of Econometrics, Elsevier, vol. 178(P1), pages 80-85.
    13. Qiu, Jia & Li, Degao & You, Jinhong, 2015. "SCAD-penalized regression for varying-coefficient models with autoregressive errors," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 100-118.
    14. Jose Olmo, 2023. "A nonparametric predictive regression model using partitioning estimators based on Taylor expansions," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 294-318, May.
    15. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
    16. Patrick, Joshua D. & Harvill, Jane L. & Hansen, Clifford W., 2016. "A semiparametric spatio-temporal model for solar irradiance data," Renewable Energy, Elsevier, vol. 87(P1), pages 15-30.
    17. Hai‐Bin Wang, 2008. "Nonlinear ARMA models with functional MA coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1032-1056, November.
    18. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    19. Giancarlo Bruno, 2014. "Consumer confidence and consumption forecast: a non-parametric approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 37-52, February.
    20. Xialu Liu & Zongwu Cai & Rong Chen, 2015. "Functional coefficient seasonal time series models with an application of Hawaii tourism data," Computational Statistics, Springer, vol. 30(3), pages 719-744, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:50:y:2006:i:12:p:3547-3566. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.