JSM 2005 Online Program

Abstract #302325

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	86
Type:	Invited
Date/Time:	Monday, August 8, 2005 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #302325
Title:	Two Nonlinear Models for Time Series
Author(s):	David A. Dickey*+
Companies:	North Carolina State University
Address:	Department of Statistics, Raleigh, NC, 27695-8203,
Keywords:	Multiple Regimes ; Smooth Transition ; Nonlinear ; Distributed Lags
Abstract:	The autoregressive order 1 model y(t) = p y(t-1)+e(t) predicts a deviation at time t, y(t)=Y(t)-M, from a mean M as some proportion p of its predecessor. The proportion is assumed to be a fixed but unknown constant and, for stationarity, is assumed to satisfy -1< p < 1. As a variant on this model, we consider letting p be a logistic or hyperbolic tangent function of y(t-1). The hyperbolic tangent covers the full -1 to 1 range associated with stationary models. Convergence problems can be encountered; however, they are rare in data for which unit root tests reject the null hypothesis, so a pretest avoids such problems. This model is a special case of the STAR class of models. The second type of model investigated is a variant of a transfer function such as Y(t) = A X(t-1) + B X(t-2) + e(t) where logistic weights p(X(t-2)) and 1-p(X(t-2)) are applied to the two coefficients. A two-station streamflow data set is used to illustrate the method.

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