Modelling autoregressive processes with a shifting mean

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Borradores de Economía; No. 420

Date published

2006-12-01

Date

2006-12-01

Authors

Terasvirta, Timo
González-Gómez, Andrés

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ISSN

ISBN

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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

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JEL Codes

C52 - Model Evaluation, Validation, and Selection

Temática

Keywords

Keywords

Deterministic shift , Nonlinear autoregression , Nonstationarity , Nonlinear trend , Structural change

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5438
 https://hdl.handle.net/20.500.12134/5438
 https://ideas.repec.org/p/bdr/borrec/420.html
 https://doi.org/10.32468/be.420

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