Nonlinear Models for Strongly Dependent Processes with Financial Applications
نویسندگان
چکیده
This paper is motivated by recent evidence that many univariate economic and nancial time series have both nonlinear and long memory characteristics. Hence, this paper considers a general nonlinear, smooth transition regime autoregression which is embedded within a strongly dependent, long memory process. A time domainMLE with simultaneous estimation of the long memory, linear AR and nonlinear parameters is shown to have desirable asymptotic properties. The Bayesian and Hannan-Quinn information criteria are shown to provide consistent model selection procedures. The paper also considers an alternative two step estimator where the original time series is fractionally ltered from an initial semi-parametric estimate of the long memory parameter. Simulation evidence indicates that the time domain MLE is generally superior to the two step estimator. The paper also includes some applications of the methodology and estimation of a fractionally integrated, nonlinear autoregressive-ESTAR model to forward premium and real exchange rates.
منابع مشابه
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates
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