Nonlinear time series modelling: an introduction

Simon Potter

No 87, Staff Reports from Federal Reserve Bank of New York

Abstract: Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models 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 models. Finally, forecasting and impulse response analysis is developed.

Keywords: time; series; analysis (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Nonlinear Time Series Modelling: An Introduction (1999)
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