Modelling autoregressive processes with a shifting mean
Timo Teräsvirta () and
Andres Gonzalez ()
Borradores de Economia from Banco de la Republica de Colombia
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)
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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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