Modelling autoregressive processes with a shifting mean

Timo Teräsvirta and Andres Gonzalez

Borradores de Economia from Banco de la Republica de Colombia

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 modelling technique, modified from one for single hidden-layer neural network models, is developed for specification and estimation of the model. Its performance is investigated by simulation and further illustrated by two applications to macroeconomic time series.

Keywords: deterministic shift; nonlinear autoregression; nonstationarity; nonlinear trend; structural change (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2006-12
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Citations: View citations in EconPapers (4)

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https://doi.org/10.32468/be.420 (application/pdf)

Related works:
Journal Article: Modelling Autoregressive Processes with a Shifting Mean (2008)
Working Paper: Modelling autoregressive processes with a shifting mean (2007)
Working Paper: Modelling autoregressive processes with a shifting mean (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:420

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