An introduction to time-varying lag autoregression

Philip Hans Franses

No EI2020-05, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper introduces a new autoregressive model, with the specific feature that the lag structure can vary over time. More precise, and to keep matters simple, the autoregressive model sometimes has lag 1, and sometimes lag 2. Representation, autocorrelation, specification, inference, and the creation of forecasts are presented. A detailed illustration for annual inflation rates for eight countries in Africa shows the empirical relevance of the new model. Various potential extensions are discussed.

Keywords: Autoregression; Time-varying lags; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Pages: 27
Date: 2020-04-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:126706

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