The long-run economic relationships: an optimization approach to fractional integrated and bilinear time series

Article type: Research Article

Authors: Mockus, Jonas | Soofi, Abdol S.

Affiliations: Institute of Mathematics and Informatics, 2600 Vilnius, Akademijos St. 4, Lithuania | Department of Economics, University of Wisconsin, Platteville, WI 53818

Abstract: One objective of this paper is to estimate the parameters p,d,q of an autoregressive fractionally integrated moving average ARFIMA (p,d,q) stochastic model by minimizing the squares of the residuals using a Bayesian global optimization techniques. We consider bilinear model, too because it is the simple extension of linear model, defined by adding a bilinear term to traditional ARMA model. Therefore, the second objective of the paper is to estimate parameters of a bilinear time series.

Keywords: autoregressive, fractionally integrated, bilinear, global optimization

DOI: 10.3233/INF-1995-6104

Journal: Informatica, vol. 6, no. 1, pp. 61-70, 1995