Cookies?
Library Header Image
LSE Research Online LSE Library Services

Nonparametric transfer function models

Liu, Jun M. and Chen, Rong and Yao, Qiwei (2010) Nonparametric transfer function models. Journal of Econometrics, 157 (1). pp. 151-164. ISSN 0304-4076

[img]
Preview
PDF
Download (367kB) | Preview

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.

Item Type: Article
Official URL: http://www.elsevier.com/locate/jeconom
Additional Information: © 2010 Elsevier B.V.
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Sets: Collections > Economists Online
Departments > Statistics
Identification Number: 10.1016/j.jeconom.2009.10.029
Date Deposited: 16 Aug 2010 08:45
Last Modified: 04 May 2017 09:35
URI: http://eprints.lse.ac.uk/id/eprint/28868

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics