Borradores de Economia
Número:
420
Publicado:
Clasificación JEL:
C22, C52
Palabras clave:
Deterministic shift, nonlinear autoregression, nonstationarity, nonlinear trend
Lo más reciente
Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia
Diana Ricciulli-Marin, Mateo Uribe-Castro
Ana María Iregui-Bohórquez, Ligia Alba Melo-Becerra, María Teresa Ramírez-Giraldo, Jorge Leonardo Rodríguez Arenas
This paper contains a nonlinear, nonstationary autoregressive model whose intercept changes deterministically over time. The intercept is a flexible function of time, and its construction bears some resemblance to neural network models. A modeling techniq