Nonparametric transfer function model with localized temporal effect

Year: 2013       Vol.: 62       No.: 1      

Authors: John Carlo P. Daquis

Abstract:

A semiparametric transfer function model is proposed and estimated using the backfitting algorithm. Simulation studies indicated that the procedure provides robust estimates for the transfer function especially for short time series data. This provides a viable alternative to the parametric transfer function model that requires large number of time points to estimate a number of parameters of the model. Furthermore, in the presence of seasonality or structural change, the procedure generally yields more robust estimates of the transfer function model than the maximum likelihood estimates of the parameters of the parametric model.

Keywords: transfer function model; semiparametric model; backfitting; mixed models

Download this article: