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dc.creatorTerasvirta, Timo
dc.creatorGonzález-Gómez, Andrés
dc.date.created2006-12-01
dc.date.issued2006-12-01
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5438
dc.description.abstractThis 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
dc.format.mimetypePDF
dc.language.isospa
dc.publisherBanco de la República
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 420
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleModelling autoregressive processes with a shifting mean
dc.typeWorking Paper
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
dc.subject.jelC52 - Model Evaluation, Validation, and Selection
dc.subject.keywordDeterministic shift
dc.subject.keywordNonlinear autoregression
dc.subject.keywordNonstationarity
dc.subject.keywordNonlinear trend
dc.subject.keywordStructural change
dc.subject.lembAnálisis de series de tiempo
dc.subject.lembModelos econométricos
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
dc.subject.jelspaC52 - Evaluación, contraste y selección de modelos
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.relation.doihttps://doi.org/10.32468/be.420
dc.rights.disclaimerLas 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.
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/420.html
dc.relation.dotechttps://ideas.repec.org/p/col/000094/003230.html
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5438
dc.creator.firmaAndres Gonzalez
dc.source.handleRepecRePEc:col:000094:003230
dc.source.handleRepecRePEc:bdr:borrec:420


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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