Abstract
SNP is a method of nonparametric multivariate time series analysis. It employs an expansion in Hermite functions to approximate the conditional density of a multivariate process. An appealing feature of the expansion is that it is a nonlinear nonparametric model that directly nests the Gaussian VAR model, the semiparametric ARCH model, the Gaussian GARCH model, and the semiparametric GARCH model. The unrestricted SNP expansion is more general than any of these models. The SNP model is fitted using conventional maximum likelihood together with a model selection strategy that determines the appropriate order of expansion.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsBibliography
Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31: 307–327.
Engle, R.F. 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50: 987–1007.
Engle, R.F., and K.F. Kroner. 1995. Multivariate simultaneous generalized ARCH. Econometric Theory 11: 122–150.
Fenton, V.M., and A.R. Gallant. 1996. Qualitative and asymptotic performance of SNP density estimators. Journal of Econometrics 74: 77–118.
Gallant, A.R., D. Hsieh, and G. Tauchen. 1997. Estimation of stochastic volatility models with diagnostics. Journal of Econometrics 81: 159–192.
Gallant, A.R., and J.R. Long. 1997. Estimating stochastic differential equations efficiently by minimum chi-square. Biometrika 84: 125–141.
Gallant, A.R., and D.W. Nychka. 1987. Seminonparametric maximum likelihood estimation. Econometrica 55: 363–390.
Gallant, A.R., P.E. Rossi, and G. Tauchen. 1992. Stock prices and volume. Review of Financial Studies 5: 199–242.
Gallant, A.R., P.E. Rossi, and G. Tauchen. 1993. Nonlinear dynamic structures. Econometrica 61: 871–907.
Gallant, A.R., and G. Tauchen. 1989. Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications. Econometrica 57: 1091–1120.
Gallant, A.R., and G. Tauchen. 1992. A nonparametric approach to nonlinear time series analysis: Estimation and simulation. In New directions in time series analysis, part II, ed. D. Brillinger et al. New York: Springer-Verlag.
Gallant, A.R., and G. Tauchen. 1996. Which moments to match? Econometric Theory 12: 657–681.
Gallant, A.R., and G. Tauchen. 1998. Reprojecting partially observed systems with application to interest rate diffusions. Journal of the American Statistical Association 93: 10–24.
Author information
Authors and Affiliations
Editor information
Additional information
Research for this article was supported by the National Science Foundation.
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Gallant, A.R. (2018). SNP: Nonparametric Time Series Analysis. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1956
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_1956
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences