On a partly linear autoregressive model with moving average errors

Ana Bianco and Graciela Boente

Journal of Nonparametric Statistics, 2010, vol. 22, issue 6, 797-820

Abstract: In this paper, we generalise the partly linear autoregression model considered in the literature by including moving average errors when we want to allow a large dependence to the past observations. The strong ergodicity of the process is derived. A consistent procedure to estimate the parametric and nonparametric components is provided together with a test statistic that allows to check the presence of a moving average component in the model. Also, a Monte Carlo study is carried out to check the performance of the given proposals.

Date: 2010
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DOI: 10.1080/10485250903469744

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