A diagnostic statistic for functional-coefficient autoregressive models

Yasumasa Matsuda

doi:10.1080/03610929808832226

A diagnostic statistic for functional-coefficient autoregressive models

Yasumasa Matsuda

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

In this paper, functional coefficient autoregressive (FAR) models proposed by Chen and Tsay (1993) are considered. We propose a diagnostic statistic for FAR models constructed by comparing between parametric and nonparametric estimators of the functional form of the FAR models. We show asymptotic properties of our statistic mathematically and it can be applied to the estimation of the delay parameter and the specification of the functional form of FAR models.

Original language	English
Pages (from-to)	2257-2273
Number of pages	17
Journal	Communications in Statistics - Theory and Methods
Volume	27
Issue number	9
DOIs	https://doi.org/10.1080/03610929808832226
Publication status	Published - 1998
Externally published	Yes

Keywords

Conditional least squares estimator
Delay parameter
Nonlinear time series
Nonparametric estimator
Stationary time series

ASJC Scopus subject areas

Statistics and Probability

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10.1080/03610929808832226

Cite this

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title = "A diagnostic statistic for functional-coefficient autoregressive models",

abstract = "In this paper, functional coefficient autoregressive (FAR) models proposed by Chen and Tsay (1993) are considered. We propose a diagnostic statistic for FAR models constructed by comparing between parametric and nonparametric estimators of the functional form of the FAR models. We show asymptotic properties of our statistic mathematically and it can be applied to the estimation of the delay parameter and the specification of the functional form of FAR models.",

keywords = "Conditional least squares estimator, Delay parameter, Nonlinear time series, Nonparametric estimator, Stationary time series",

author = "Yasumasa Matsuda",

year = "1998",

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language = "English",

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T1 - A diagnostic statistic for functional-coefficient autoregressive models

AU - Matsuda, Yasumasa

PY - 1998

Y1 - 1998

N2 - In this paper, functional coefficient autoregressive (FAR) models proposed by Chen and Tsay (1993) are considered. We propose a diagnostic statistic for FAR models constructed by comparing between parametric and nonparametric estimators of the functional form of the FAR models. We show asymptotic properties of our statistic mathematically and it can be applied to the estimation of the delay parameter and the specification of the functional form of FAR models.

AB - In this paper, functional coefficient autoregressive (FAR) models proposed by Chen and Tsay (1993) are considered. We propose a diagnostic statistic for FAR models constructed by comparing between parametric and nonparametric estimators of the functional form of the FAR models. We show asymptotic properties of our statistic mathematically and it can be applied to the estimation of the delay parameter and the specification of the functional form of FAR models.

KW - Conditional least squares estimator

KW - Delay parameter

KW - Nonlinear time series

KW - Nonparametric estimator

KW - Stationary time series

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U2 - 10.1080/03610929808832226

DO - 10.1080/03610929808832226

M3 - Article

AN - SCOPUS:26844466031

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VL - 27

SP - 2257

EP - 2273

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 9

ER -

A diagnostic statistic for functional-coefficient autoregressive models

Abstract

Keywords

ASJC Scopus subject areas

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