Nonlinear time series models: consistency and asymptotic normality of nls under new conditions

Santiago Mira
Authors registered in the RePEc Author Service: Alvaro Escribano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we study the consistency and asymptotic normality properties of nonlinear least squares (NLS) under a set of assumptions that are not difficult to verify. The statistical literature on estimation of nonlinear models by NLS rely on abstract theoretical conditions. See for example the books of Tong(1990), and Granger and Terasvirta(1993). There are alternative statistical frameworks but all of them depend on high level (very technical) assumptions that are difficult and tedious to verify, see for example Gallant and White(1988) and Wooldridge(1994). In this paper we show that for a general class of nonlinear dynamic regression models, there are explicit and easy to check conditions that satisfy the general framework of Gallant and White(1988). We show the usefulness of our assumptions with some examples from the class of Smooth Transition Autoregressive (STAR) models.

Keywords: Nonlinear; Dynamic; Regression; Models; Star; models; Mixing; Near; Epoch; Dependence (search for similar items in EconPapers)
Date: 1995-11
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Citations: View citations in EconPapers (3)

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