EconPapers    
Economics at your fingertips  
 

Common large innovations across nonlinear time series

Philip Hans Franses and Richard Paap

No EI 2002-09, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as the presence of common innovations. We discuss representation, inference, estimation and diagnostics. We illustrate the model for US and Canadian unemployment and find that US innovation variables have an effect on Canadian unemployment, and not the other way around, and also that there is no common nonlinearity across the unemployment variables.

Keywords: Censored latent effects autoregression; Common features; Nonlinearity (search for similar items in EconPapers)
Date: 2002-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://repub.eur.nl/pub/578/feweco20020501093453.pdf (application/pdf)

Related works:
Journal Article: Common large innovations across nonlinear time series (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:578

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ().

 
Page updated 2019-09-14
Handle: RePEc:ems:eureir:578