Nonlinear models in macroeconometrics
Timo Teräsvirta ()
CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
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
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2017-32
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