Functional Coefficient Autoregressive Models: Estimation and Tests of Hypotheses


In this paper, we study nonparametric estimation and hypothesis testing procedures for the functional coef®cient AR (FAR) models of the form Xt ˆ f1(X tÿd)X tÿ1 ‡ ‡ f p(X tÿd)X tÿ p ‡ å t, ®rst proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a rich class of models that includes many useful parametric… (More)


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