A diagnostic statistic for functional-coefficient autoregressive models |
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| Authors: | Yasumasa Matsuda |
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| Affiliation: | Kanagawa University , 3-27-1 Rokkakubashi, Kanagawa-ku, Yokohama, 221, Japan |
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| 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. |
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| Keywords: | Stationary time series nonlinear time series conditional least squares estimator nonparametric estimator delay parameter |
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