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NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS

Published online by Cambridge University Press:  24 September 2002

Lijian Yang
Affiliation:
Michigan State University
Rolf Tschernig
Affiliation:
University of Maastricht

Abstract

Non- or semiparametric estimation and lag selection methods are proposed for three seasonal nonlinear autoregressive models of varying seasonal flexibility. All procedures are based on either local constant or local linear estimation. For the semiparametric models, after preliminary estimation of the seasonal parameters, the function estimation and lag selection are the same as nonparametric estimation and lag selection for standard models. A Monte Carlo study demonstrates good performance of all three methods. The semiparametric methods are applied to German real gross national product and UK public investment data. For these series our procedures provide evidence of nonlinear dynamics.

Type
Research Article
Copyright
© 2002 Cambridge University Press

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