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A nonlinear time series model of El Niño

Anthony Hall (), Joakim Skalin and Timo Teräsvirta ()

No 263, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most turbulent periods in the data (these correspond to El Niño events) better than a linear autoregressive model. The estimated nonlinear model passes a battery of diagnostic tests. A generalised impulse response function indicates local instability, but as deterministic extrapolation from the estimated model converges, the nonlinear model may still be useful for forecasting the El Niño Southern Oscillation a few months ahead.

Keywords: Smooth transition autoregression; Nonlinearity; Time series model; El Niño; Southern Oscillation (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-env and nep-ets
Date: 1998-09-28
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Published in Environmental Modelling and Software, 2001, pages 139-146.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0263

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