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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)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
Date: 2017-09-29
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2017-32

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