Univariate nonlinear time series models

Timo Teräsvirta

No 593, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of modelling nonlinear series within a predetermined family of models are discussed thereafter. Forecasting with nonlinear models also has its own section. A brief set of final remarks closes the chapter.

Keywords: Hidden Markov model; linearity test; neural network; nonlinear model building; threshold autoregressive model; smooth transition autoregressive model (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2005-03-29
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: This paper has been prepared for Kerry Patterson and Terence C. Mills (eds.), Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, Palgrave Macmillan.
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Citations: View citations in EconPapers (1)

Published in Palgrave Handbook of Econometrics, Volume 1: Econometrics, Patterson, Kerry, Mills, Terence C. (eds.), 2006, chapter 10, pages 396-424, Palgrave Macmillan.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0593

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