摘要:

Abstract.Standard least squares analysis of autoregressive moving‐average (ARMA) processes with errors‐in‐variables entails the construction of a new set of parameters which are functions of the original ARMA parameters, and requires that derivatives of these new parameters of order three or less with respect to the ARMA parameters exist and be bounded. The boundedness of these derivatives in turn depends critically on the nonsingularity of a matrixBwhich is a function of the ARMA parameters via the new parameters in the model. A particular version of the classical Schur–Cohn algorithm enables us to establish this nonsing

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00245.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.Let {Xn,n= 0, 1, 2,…} be a discrete‐time ARMA(p, q) process withq

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00246.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.An open‐loop threshold autoregressive model is defined asThe main difficulty for building such a model is that the threshold variableZtis usually unknown. In practice, there may exist many possible candidates for the threshold variableZt. It is difficult and tedious, if not impossible, to search for the best among all the candidates using standard model selection procedures. In this paper, we introduce a digression concept and propose two simple algorithms to classify the observations without knowing the threshold variable. The classification is then used with several graphical procedures to search for the most suitable threshold variable. Simulated and real examples are included to illustrate the proposed procedure

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00247.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.The study of non‐linear time series has attracted much attention in recent years. Among the models proposed, the threshold autoregressive (TAR) model and bilinear model are perhaps the most popular ones in the literature. However, the TAR model has not been widely used in practice due to the difficulty in identifying the threshold variable and in estimating the associated threshold value. The main focal point of this paper is a Bayesian analysis of the TAR model with two regimes. The desired marginal posterior densities of the threshold value and other parameters are obtained via the Gibbs sampler. This approach avoids sophisticated analytical and numerical multiple integration. It also provides an estimate of the threshold value directly without resorting to a subjective choice from various scatterplots. We illustrate the proposed methodology by using simulation experiments and analysis of a real data se

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00248.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.Finite sample critical values currently available for the augmented Dickey‐Fuller test are commonly obtained via simulations using ARIMA (0, 1, 0) processes. An implicit but critical assumption is that the possible presence of nuisance nonunit roots in general processes does not affect the finite sample size property of the test. The validity of this assumption, though always presumed, has not been verified. This study shows that the use of ARIMA (0, 1, 0) processes for computing the critical values is not so restrictive as it may seem. By estimating empirical size curves as a function of nuisance root parameters, results of Monte Carlo analysis suggest that the empirical test size is not sensitive to nuisance autoregressive (AR) and moving‐average (MA) roots over a wide range of their values, except only when the AR or MA root is near unity. The results support, though not unqualifiedly, the reliability and usefulness of finite sample critical values estimated based on simple ARIMA (0, 1, 0) proces

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00249.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.This paper deals with testing for cointegration at any frequency with a focus on the bounds tests proposed by Joyeux (Tests for seasonal cointegration using principal components.J. Time Ser. Anal.13 (1992), 109–18). It is shown that this class of tests has asymptotic size equal to one because the author does not take into account non‐contemporaneous cointegration at frequencies other than zero and π. The consequences of this size distortion with finite samples are investigated by a Monte Carlo experiment. Bounds tests for contemporaneous cointegration are also proposed. Finally, an empirical example of testing for seasonal cointegration in monthly time series is presented and discu

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00250.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY

摘要:

Abstract.In this paper a conditional least squares (CLS) procedure for estimating bilinear time series models is introduced. This method is applied to a special superdiagonal bilinear model which includes the classical linear autoregressive moving‐average model as a particular case and it is proven that the limiting distribution of the CLS estimates is Gaussian and that the law of the iterated logarithm hold

ISSN:0143-9782    

DOI:10.1111/j.1467-9892.1995.tb00251.x

出版商:Blackwell Publishing Ltd    

年代:1995

数据来源: WILEY