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From | Robert A Yaffee <bob.yaffee@nyu.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Nonlinear ARMAX model |
Date | Sun, 07 Mar 2010 21:40:55 -0500 |
Sebastien, That depends on what kind of nonlinear ARMAX model you are thinking about. If you are thinking about threshold nonlinear autoregressive models, then you would want to be able to test for the regime change. The regime could be determined by a change in the dgp from one form of ARMAX to another. If you are going to have a regime switch, then the question is whether this process of regime transition will be self-exciting or predefined by some Markov-Switching process by which the transition probabilities have to be estimated. There is the question of invertbility (see Chan and tong, 2009 A note on invertibility of nonlinear ARMA models). Is this model supposed to be locally invertible if not globally invertible and how will you test for it. If you are referring to the Stata arch models, there are several nonlinear arch models that model thresholds (tarch, atarch, tparch, and narchk) the latter of which can model a single shift. terms You could consult the documentation on them for more information. Regards, Bob Yaffee Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf CV: http://homepages.nyu.edu/~ray1/vita.pdf ----- Original Message ----- From: Sebastian van Baal <s.vanbaal@arcor.de> Date: Friday, March 5, 2010 6:12 pm Subject: st: Nonlinear ARMAX model To: statalist@hsphsun2.harvard.edu > Dear Stata Users: > > Is it possible to estimate a nonlinear ARMAX model in Stata? (And if so: > how?) > > Regards > Sebastian > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/