Common large innovations across nonlinear time series
Philip Hans Franses and
No EI 2002-09, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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)
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Journal Article: Common large innovations across nonlinear time series (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:578
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