 A nonlinear time series model of El NiñoAnthony 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) Published in Environmental Modelling and Software, 2001, pages 139-146. There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0263 Access Statistics for this paper More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC. |
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