Functional coefficient autoregressive models : Estimation and tests of hypotheses

@inproceedings{Chen2001FunctionalCA,
  title={Functional coefficient autoregressive models : Estimation and tests of hypotheses},
  author={Rong Chen},
  year={2001}
}
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 nonlinear time series models such as the threshold AR models of Tong (1983) and exponential AR models of Haggan and Ozaki (1981). We propose a… CONTINUE READING
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