Strategies for Modelling Nonlinear Time‐Series Relationships

Clive Granger

The Economic Record, 1993, vol. 69, issue 3, 233-238

Abstract: Building models of nonlinear relationships are inherently more difficult than linear ones There are more possibilities, many more parameters and thus more mistakes can be made. It is suggested that a strategy be applied when attempting such modelling involving testing for linearity, considering just a few model types of parsimonious form and then performing post‐sample evaluation of the resulting models compared to a linear one. The strategy proposed is a ‘simple‐to‐general’ one and the application of a heteroskedasticity correction is not recommended

Date: 1993
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1475-4932.1993.tb02103.x

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:bla:ecorec:v:69:y:1993:i:3:p:233-238

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0013-0249

Access Statistics for this article

The Economic Record is currently edited by Paul Miller, Glenn Otto and Martin Richardson

More articles in The Economic Record from The Economic Society of Australia Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().