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Nonparametric transfer function models

Author

Listed:
  • Liu, Jun M.
  • Chen, Rong
  • Yao, Qiwei

Abstract

In this paper a class of nonparametric transfer function models is proposed to model nonlinear relationships between 'input' and 'output' time series. The transfer function is smooth with unknown functional forms, and the noise is assumed to be a stationary autoregressive-moving average (ARMA) process. The nonparametric transfer function is estimated jointly with the ARMA parameters. By modelling the correlation in the noise, the transfer function can be estimated more efficiently. The parsimonious ARMA structure improves the estimation efficiency in finite samples. The asymptotic properties of the estimators are investigated. The finite-sample properties are illustrated through simulations and one empirical example.

Suggested Citation

  • Liu, Jun M. & Chen, Rong & Yao, Qiwei, 2010. "Nonparametric transfer function models," LSE Research Online Documents on Economics 28868, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:28868
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    File URL: http://eprints.lse.ac.uk/28868/
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    References listed on IDEAS

    as
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    3. 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.
    4. Wolfgang Härdle & Helmut Lütkepohl & Rong Chen, 1997. "A Review of Nonparametric Time Series Analysis," International Statistical Review, International Statistical Institute, vol. 65(1), pages 49-72, April.
    5. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," Econometrica, Econometric Society, vol. 66(5), pages 1017-1098, September.
    6. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
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    Citations

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    Cited by:

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    2. Peng, Liang & Einmahl, John, 2021. "Improved regression inference using a second overlapping regression model," Other publications TiSEM c529c2b9-0eee-440e-b015-8, Tilburg University, School of Economics and Management.
    3. Markku Lanne & Jani Luoto & Henri Nyberg, 2014. "Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?," CREATES Research Papers 2014-26, Department of Economics and Business Economics, Aarhus University.
    4. Alan T. K. Wan & Jinhong You & Riquan Zhang, 2016. "A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 894-928, May.
    5. Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    6. Bingduo Yang & Xiaohui Liu & Liang Peng & Zongwu Cai, 2018. "Unified Tests for a Dynamic Predictive Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201808, University of Kansas, Department of Economics, revised Sep 2018.
    7. 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.
    8. Peng, Liang & Einmahl, John, 2021. "Improved regression inference using a second overlapping regression model," Discussion Paper 2021-029, Tilburg University, Center for Economic Research.
    9. Rodrigo A. Oliveira & Gilberto A. Paula, 2021. "Additive models with autoregressive symmetric errors based on penalized regression splines," Computational Statistics, Springer, vol. 36(4), pages 2435-2466, December.

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    More about this item

    Keywords

    nonparametric smoothing; time series; transfer function; ISI;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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