Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models

Jiti Gao

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new results for the integrated time series case. In the meantime, we propose a new estimation method and establish a new theory for a class of semi-linear nonstationary autoregressive models. In addition, we discuss certain directions for further research.

Keywords: Asymptotic theory; departure function; kernel method; nonlinearity; nonstationarity; semiparametric model; stationarity; time series (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2012-04-08, Revised 2012-05-14
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:39256

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