EconPapers    
Economics at your fingertips  
 

Nonlinear models in macroeconometrics

Timo Teräsvirta

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This article contains a short review of nonlinear models that are applied to modelling macroeconomic time series. Brief descriptions of relevant models, both univariate, dynamic single-equation, and vector autoregressive ones are presented. Their application is illuminated by a number of selected examples.

Keywords: Markov-switching model; nonlinear time series; random coefficient model; smooth transition model; threshold autoregressive model; vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 C51 E00 (search for similar items in EconPapers)
Pages: 26
Date: 2017-09-29
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/17/rp17_32.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2017-32

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by (bhoejklint@econ.au.dk).

 
Page updated 2025-03-19
Handle: RePEc:aah:create:2017-32