On the Identifiability Conditions in Some Nonlinear Time Series Models

Abstract

In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.

Keywords

• identifiability
• nonlinear time series models
• GARCH-type models
• smooth transition GARCH models
• Poisson autoregressive models
• smooth transition autoregressive models