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FIMXII-SCMA2005@AUBURN, Twelfth Annual International Conference on Statistics, Combinatorics, Mathematics and Applications
December 2-4, 2005
Auburn University
Auburn, Alabama, USA

Organizers
Forum for Interdisciplinary Mathematics

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A Hybrid Approach to Vector Nonlinear Time Series
by
Jane Lea Harvill
Mississippi State University
Coauthors: Bonnie K. Ray

Functional coefficient autoregressive (FCAR) models can be considered a hybrid of parameteric and nonparametric models. We present a vector FCAR model and introduce a bootstrap test for model specificity. Three forecasting procedures are presented and numerically examined. For illustrations, the methods are applied to unemployment and GNP.

Date received: October 27, 2005

Copyright © 2005 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # carr-18.