Nonlinear Time Series Modelling: An Introduction

Simon Potter

Journal of Economic Surveys, 1999, vol. 13, issue 5, 505-528

Abstract: Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear model are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of model. Finally forecasting and impulse response analysis is developed.

Date: 1999
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