Multivariate time-series analysis with categorical and continuous variables in an Lstr model

Journal of Time Series Analysis

Volumn 28, Issue 6, 2007, Pages 867-885

  Davis, Ginger M ^a,b   Ensor, Katherine B ^a  

^a UNIVERSITY OF VIRGINIA   (United States)

^b University of Virginia   (United States)

Author keywords

Categorical; Continuous; LSTR; Multivariate; Nonlinear

Indexed keywords

EID: 35348918768     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2007.00537.x     Document Type: Article

References (44)

1. Andrieu, C., Davy, M. Doucet, A. (2003) Efficient particle filtering for jump markov systems. application to time-varying autoregressions. IEEE Transactions on Signal Processing 51, 1762 70.
2. Bianchi, M. Zoega, G. (1998). Unemployment persistence: does the size of the shock matter Journal of Applied Econometrics 13, 283 304.
3. Brannas, K. Ohlsson, H. (1999). Asymmetric time-series and temporal aggregation. Review of Economics and Statistics 81, 341 4.
4. Byrd, R. H., Lu, P., Nocedal, J. Zhu, C. (1995). A limited memory algorithm for bound constrained optimization. SIAM Journal of Scientific Computing 16, 1190 208.
5. Caner, M. Hansen, B. E. (2001). Threshold autoregression with a unit root. Econometrica 69, 1555 97.
6. Chan, K. S. Tong, H. (1986). On estimating thresholds in autoregressive models. Journal of Time Series Analysis 7, 179 194.
7. Durbin, J. Koopman, S. J. (2000). Time series analysis of non-gaussian observations based on state space models from both classical and bayesian perspectives. Journal of the Royal Statistical Society Series B 62, 3 56
8. Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of uk inflation. Econometrica 50, 987 1008.
9. Fahrmeir, L. Kaufmann, H. (1987). Regression models for nonstationary categorical time series. Journal of Time Series Analysis 8, 147 60.
10. Fokianos, K. Kedem, B. (1998). Prediction and classification of non-stationary categorical time series. Journal of Multivariate Analysis 67, 277 96.
11. Fokianos, K. Kedem, B. (2003). Regression theory for categorical time series. Statistical Science 18, 357 76.
12. Goldfeld, S. M. Quandt, R. (1973). The estimation of structural shifts by switching regressions. Annals of Economic and Social Measurement 2, 475 85.
13. Granger, C. W. J. Andersen, A. P. (1978). An Introduction to Bilinear Time Series Models. Gottingen : Vandenhoek & Ruprecht.
14. Granger, C. W. J. Terasvirta, T. (1993). Modelling Nonlinear Economic Relationships. New York: Oxford University Press.
15. Haggan, V. Ozaki, T. (1981). Modeling nonlinear vibrations using an amplitude-dependent autoregressive time series model. Biometrika 68, 189 96.
16. Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 64, 357 84.
17. Hansen, B. E. (1997). Inference in tar models. Studies in Nonlinear Dynamics and Econometrics 2, 1 14.
18. Jorgensen, B., Lundbye-Christensen, S., Song, P. X. Sun, L. (1996). State-space models for multivariate longitudinal data of mixed types. The Canadian Journal of Statistics 24, 385 402.
19. Jorgensen, B., Lundbye-Christensen, S., Song, P. X. Sun, L. (1999). A state space model for multivariate longitudinal count data. Biometrika 86, 169 81.
20. Jorgensen, B. Tsao, M. (1999). Dispersion models and longitudinal data analysis. Statistics in Medicine 18, 2257 70.
21. Kaufmann, H. (1987). Regression models for nonstationary categorical time series: asymptotic estimation theory. Annals of Statistics 15, 79 98.
22. Koop, G. Potter, S. M. (1999). Dynamic asymmetries in US unemployment. Journal of Business and Economic Statistics 17, 298 313.
23. Lewis, P. A. W. Ray, B. K. (2002). Nonlinear modelling of periodic threshold autoregressions using tsmars. Journal of Time Series Analysis 23, 459 71.
24. Luukkonen, R., Saikkonen, P. Terasvirta, T. (1988). Testing linearity against smooth transition autoregressive models. Biometrika 75, 491 99.
25. McCullagh, P. (1980). Regression models for ordinal data (with discussion). Journal of the Royal Statistical Society Series B 42, 109 42.
26. McCullagh, P. Nelder, J. A. (1989). Generalized Linear Models (2nd edn). London : Chapman and Hall.
27. Montgomery, A. L., Zarnowitz, V., Tsay, R. S. Tiao, G. C. (1998). Forecasting the US unemployment rate. Journal of the American Statistical Association 93, 478 93.
28. Nocedal, J. Wright, S. J. (1999). Numerical Optimization. New York: Springer.
29. Ord, K., Fernandes, C. Harvey, A. C. (1993). Developments in Time Series Analysis in Honour of Maurice B. Priestly, Time Series Models for Multivariate Series of Count Data. London: Chapman and Hall.
30. Peña, D., Tiao, G. C. Tsay, R. S. (eds 2001). A Course in Time Series Analysis. Hoboken, NJ: John Wiley & Sons, Inc.
31. Priestly, M. B. (1980). State dependent models: a general approach to nonlinear time series analysis. Journal of Time Series Analysis 1, 57 71.
32. Quandt, R. E. (1983). Handbook of Econometrics, Computational Problems and Methods. Amsterdam : North-Holland.
33. R Development Core Team (2003). R: A Language and Environment for Statistical Computing. Vienna : R Foundation for Statistical Computing. ISBN 3-900051-00-3.
34. Rothman, P. (1998). Forecasting asymmetric unemployment rates. Review of Economics and Statistics 80, 164 8.
35. Shumway, R. H. Stoffer, D. S. (2000). Time Series Analysis and its Applications. New york: Springer, pp. 483-506.
36. Skalin, J. Terasvirta, T. (2002). Modelling asymmetries and moving equilibria in unemployment rates. Macroeconomic Dynamics 6, 202 41.
37. Snell, E. J. (1964). A scaling procedure for ordered categorical data. Biometrics 20, 592 607.
38. Stoffer, D. S., Tyler, D. E. McDougall, A. J. (1993). Spectral analysis for categorical time series: scaling and the spectral envelope. Biometrika 80, 611 22.
39. Terasvirta, T. (1990). Generalizing threshold autoregressive models. Department of Economics Discussion Paper No. 90-44, University of California.
40. Terasvirta, T., Lin, C. F. Granger, C. W. J. (1993). Power of the neural network linearity test. Journal of Time-Series Analysis 14, 209 20.
41. Tong, H. (1978). Pattern Recognition and Signal Processing. On a Threshold Model. Amsterdam : Sijhoff & Noordhoff.
42. Tong, H. (1990). Nonlinear Time Series: A Dynamical System Approach. London : Oxford University Press.
43. van Buuren, S. (1996). Optimal transformations for categorical autoregressive time-series. Statistica Neerlandica 51, 90 106.
44. van Dijk, D., Terasvirta, T. Franses, P. H. (2002). Smooth transition autoregressive models-a survey of recent developments. Econometric Reviews 21, 1 47.