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On a partly linear autoregressive model with moving average errors

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  • Ana Bianco
  • Graciela Boente

Abstract

In this paper, we generalise the partly linear autoregression model considered in the literature by including moving average errors when we want to allow a large dependence to the past observations. The strong ergodicity of the process is derived. A consistent procedure to estimate the parametric and nonparametric components is provided together with a test statistic that allows to check the presence of a moving average component in the model. Also, a Monte Carlo study is carried out to check the performance of the given proposals.

Suggested Citation

  • Ana Bianco & Graciela Boente, 2010. "On a partly linear autoregressive model with moving average errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(6), pages 797-820.
    • Handle: RePEc:taf:gnstxx:v:22:y:2010:i:6:p:797-820
    DOI: 10.1080/10485250903469744
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