Modelling autoregressive processes with a shifting mean

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Borradores de Economía; No. 420
Date published
2006-12-01
Date of last update
2006-12-01
Author
Terasvirta, Timo
González-Gómez, Andrés
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modeling techniq
JEL Codes
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesC52 - Model Evaluation, Validation, and Selection
Keywords
Deterministic shift ; Nonlinear autoregression ; Nonstationarity ; Nonlinear trend ; Structural change ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5438
https://hdl.handle.net/20.500.12134/5438
https://doi.org/10.32468/be.420
https://ideas.repec.org/p/bdr/borrec/420.html
https://ideas.repec.org/p/col/000094/003230.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit