Historical Decompositions for Nonlinear Vector Autoregression Models

Lecture 6 : Vector Autoregression ∗

Estimators for alternating nonlinear autoregression

Suppose we observe a time series that alternates between different nonlinear autoregressive processes. We give conditions under which the model is locally asymptotically normal, derive a characterization of efficient estimators for differentiable functionals of the model, and use it to construct efficient estimators for the autoregression parameters and the innovation distributions. Surprisingl...

Evaluating Structural Vector Autoregression Models in Monetary Economies

This paper uses Monte Carlo simulations to evaluate alternative identi…cation strategies in VAR estimation of monetary models, and to assess the accuracy of measuring money instability as a cause of output ‡uctuations. I construct theoretical monetary economies using general equilibrium models with cash-in-advance constraints, which also include technology shocks, labor supply shocks, and monet...

Nonlinear Poisson autoregression

We study statistical properties of a class of non-linear models for regression analysis of count time series. Under mild conditions, it is shown that a perturbed version of the model is geometrically ergodic and possesses moments of any order. This result turns out to be instrumental on deriving large sample properties of the maximum likelihood estimators of the regression parameters. The theor...

Non-and Semiparametric Identiication of Seasonal Nonlinear Autoregression Models

Non-or semiparametric estimation and lag selection methods are proposed for three seasonal nonlinear autoregressive models of varying seasonal exibility. All procedures are based on either local constant or local linear estimation. For the semipara-metric models, after preliminary estimation of the seasonal parameters, the function estimation and lag selection are the same as nonparametric esti...