ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES
- 1 May 1984
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 5 (3) , 173-181
- https://doi.org/10.1111/j.1467-9892.1984.tb00385.x
Abstract
For the bilinear time seriesXt=βXt‐ket‐l+ev,k≥l, formulas for the firstk‐1 autocorrelations ofX2tare obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small,kandlmay be identified using the autocorrelations ofX2t. Application to more general situations is also briefly discussed.Keywords
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