Abstract: In this paper, we show how the Yule-Walker type difference equations for higher order moments and cumulants, recently derived for certain types of bilinear time series models, the BL(p,0,p,1) models, by Sesay and Subba Rao (1988, 1991), could be used for tentative identification of the order of the model. The technique we use for identification is canonical correlation analysis, carried out between the linear combination of the observations and linear combination of higher powers of the observations. The methods are illustrated with real and simulated examples.
Key words and phrases: Bilinear models, canonical correlations, identification.