A semiparametric method for estimating nonlinear autoregressive model with dependent errors |
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Authors: | R Farnoosh SJ Mortazavi |
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Institution: | a School of Mathematics, Iran University of science and technology, Narmak, Tehran 16846, Iranb Department of Statistics, Science and Research Branch, Islamic Azad University, Tehran, Iran |
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Abstract: | The first-order nonlinear autoregressive model is considered and a semiparametric method is proposed to estimate regression function. In the presented model, dependent errors are defined as first-order autoregressive AR(1). The conditional least squares method is used for parametric estimation and the nonparametric kernel approach is applied to estimate regression adjustment. In this case, some asymptotic behaviors and simulated results for the semiparametric method are presented. Furthermore, the method is applied for the financial data in Iran’s Tejarat-Bank. |
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Keywords: | Semiparametric estimation Conditional least squares method Nonlinear autoregressive model Kernel approach |
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