Download TSM4 Documentation - Time Series Modelling (TSM)

4.3 Bilinear Models ............................................................................. 16 4.4 Nonlinear Moving Average Models .............................................. 16 4.5 Error Correction Models................................................................ 17 4.5.1 Equilibrium Relations ................................................................................17 4.5.2 Fractional Cointegration ............................................................................18 4.5.3 Nonlinear Error Correction and Nonlinear AR ..........................................18 4.6 User Coded Functions .................................................................. 18 4.6.1 Coded Formulae .........................................................................................18 4.6.2 Formula Types ...........................................................................................19 4.6.3 Coded Equations ........................................................................................19 4.6.4 Coded Component .....................................................................................20 4.6.5 Coded Error Correction Mechanism. .........................................................20 4.6.6 Coded Moving Average Model .................................................................20 4.6.7 Coded Equilibrium Relations.....................................................................20 4.6.8 Ox Coding ..................................................................................................20 4.7 Discrete Data Models .................................................................... 21 4.7.1 Probit and Logit Models ............................................................................21 4.7.2 Ordered Probit and Logit ...........................................................................21 4.7.3 Count Data .................................................................................................22 4.7.4 Autoregressive discrete models .................................................................22 4.7.5 Zero-inflated Poisson and ordered Probit ..................................................22 5 Systems of Equations ........................................................... 23 5.1 The Basic Model............................................................................ 23 5.2 Definitions and Details .................................................................. 23 5.2.1 System Notation .........................................................................................23 5.2.2 System Exogenous Variables .....................................................................23 5.2.3 Simultaneous Equations .............................................................................23 5.2.4 Nonlinear Systems .....................................................................................23 5.3 Error Correction Models................................................................ 24 6 Conditional Heteroscedasticity Models................................ 26 6.1 Single Equation Models ................................................................ 26 6.2 Definitions and Details .................................................................. 26 6.2.1 GARCH Parameterization .........................................................................26 6.2.2 HYGARCH and FIGARCH ......................................................................27 6.2.3 Asymmetric GARCH and Power GARCH ................................................27 6.2.4 GARCH Regressors ...................................................................................27 6.2.5 EGARCH ...................................................................................................27 6.2.6 HYEGARCH and FIEGARCH..................................................................28 6.3 Conditional Heteroscedasticity in Discrete Data Models ............. 28 7 Conditionally Heteroscedastic Systems ............................... 29 7.1 Implemented Model Variants ........................................................ 29 7.2 Definitions and Details .................................................................. 30 7.2.1 Multivariate GARCH .................................................................................30 7.2.2 DCC Multivariate GARCH........................................................................30 7.2.3 BEKK Multivariate GARCH .....................................................................30 8 Regime Switching ................................................................ 31 8.1 Simple Markov switching.............................................................. 31 8.2 Explained Switching ...................................................................... 32 2
James Davidson 2015