Borradores de Economia
Número:
420
Publicado:
Clasificación JEL:
C22, C52
Palabras clave:
Deterministic shift, nonlinear autoregression, nonstationarity, nonlinear trend

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Carola Müller, Matias Ossandon Busch, Miguel Sarmiento, Freddy A. Pinzón-Puerto
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Diego Fernando Cuesta-Mora, Gómez-Molina Andrés Camilo
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