A simple variable selection technique for nonlinear models
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- Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999. "A simple variable selection technique for nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 296, Stockholm School of Economics, revised 06 Apr 2000.
References listed on IDEAS
- Yao, Qiwei & Tong, Howell, 1994. "On subset selection in non-parametric stochastic regression," LSE Research Online Documents on Economics 6409, London School of Economics and Political Science, LSE Library.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
- Tschernig, Rolf & Yang, Lijian, 1997. "Nonparametric lag selection for time series," SFB 373 Discussion Papers 1997,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rolf Tschernig & Lijian Yang, 2000.
"Nonparametric Lag Selection for Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 457-487, July.
- Tschernig, Rolf & Yang, Lijian, 1997. "Nonparametric lag selection for time series," SFB 373 Discussion Papers 1997,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Citations
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Cited by:
- Marcelo C. Medeiros & Alvaro Veiga, 2003.
"Diagnostic Checking in a Flexible Nonlinear Time Series Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 461-482, July.
- Medeiros, Marcelo & Veiga, Alvaro, 2000. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," SSE/EFI Working Paper Series in Economics and Finance 386, Stockholm School of Economics, revised 15 Jan 2001.
- Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil).
- Marie Lebreton & Katia Melnik, 2009. "Voluntary Participation as a Determinant of Social Capital in France : Allowing for Parameter Heterogeneity," Working Papers halshs-00410530, HAL.
- Eduardo Mendes & Alvaro Veiga & MArcelo Cunha Medeiros, 2007. "Estimation And Asymptotic Theory For A New Class Of Mixture Models," Textos para discussão 538, Department of Economics PUC-Rio (Brazil).
- Henrik Amilon, 2003. "A neural network versus Black-Scholes: a comparison of pricing and hedging performances," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 317-335.
- Barrera, Carlos R., 2010. "Redes neuronales para predecir el tipo de cambio diario," Working Papers 2010-001, Banco Central de Reserva del Perú.
- Lebreton, Marie, 2005. "The NCSTAR model as an alternative to the GWR model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 77-84.
- Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005.
"Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination,"
International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
- Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
- Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 09 Nov 2004.
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006.
"Building neural network models for time series: a statistical approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil).
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002. "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance 508, Stockholm School of Economics.
- Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
- Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo, 2007.
"Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form,"
SSE/EFI Working Paper Series in Economics and Finance
672, Stockholm School of Economics, revised 18 Jan 2012.
- Anne Peguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2013. "Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form," Post-Print hal-01500895, HAL.
- Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers 2008-19, Department of Economics and Business Economics, Aarhus University.
- Mayte Suarez -Farinas & Carlos E. Pedreira & Marcelo C. Medeiros, 2004.
"Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling,"
Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1092-1107, December.
- Mayte Suarez Farinãs & Carlos Eduardo Pedreira & Marcelo C. Medeiros, 2003. "Local-global neural networks: a new approach for nonlinear time series modelling," Textos para discussão 470, Department of Economics PUC-Rio (Brazil).
- Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
- Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," SSE/EFI Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 29 Apr 2004.
- MArcelo C. Medeiros & Eduardo F.Mendes, 2012.
"Estimating High-Dimensional Time Series Models,"
Textos para discussão
602, Department of Economics PUC-Rio (Brazil).
- Marcelo C. Medeiros & Eduardo F. Mendes, 2012. "Estimating High-Dimensional Time Series Models," CREATES Research Papers 2012-37, Department of Economics and Business Economics, Aarhus University.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Leila Ali & Marie Lebreton, 2013. "The Fall of Bretton Woods: Which Geography Matters?," Economics Bulletin, AccessEcon, vol. 33(2), pages 1396-1419.
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More about this item
Keywords
nonlinear regression; Autoregression; nonlinear time series; nonparametric variable selection; time series modelling;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
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