Why hammerstein-type block models are so efficient: Case study of financial econometrics

• Main Authors: Thongchai Dumrongpokaphan, Afshin Gholamy, Vladik Kreinovich, Hoang Phuong Nguyen
• Format: Book Series
• Published: 2019
• Subjects: Computer Science
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065607823&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/65552
• Institution: Chiang Mai University

© Springer Nature Switzerland AG 2019. In the first approximation, many economic phenomena can be described by linear systems. However, many economic processes are non-linear. So, to get a more accurate description of economic phenomena, it is necessary to take this non-linearity into account. In many economic problems, among many different ways to describe non-linear dynamics, the most efficient turned out to be Hammerstein-type block models, in which the transition from one moment of time to the next consists of several consequent blocks: linear dynamic blocks and blocks describing static non-linear transformations. In this paper, we explain why such models are so efficient in econometrics.