Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: Common large innovations across nonlinear time series
Abstract: We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate innovation-like variables. Common nonlinearity can then be easily defined as the presence of common innovations. We discuss representation, inference, estimation and diagnostics. We illustrate the model for US and Canadian unemployment and find that US innovation variables have an effect on Canadian unemployment, and not the other way around, and also that there is no common nonlinearity across the unemployment variables.
Creation-Date: 2002-01-01
File-URL: https://repub.eur.nl/pub/578/feweco20020501093453.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-09
Keywords: Censored latent effects autoregression, Common features, Nonlinearity
Handle: RePEc:ems:eureir:578