Abstract

http://ssrn.com/abstract=935332
 
 

References (32)



 
 

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Nonlinear Time Series Modelling: An Introduction


Simon Potter


Federal Reserve Bank of New York

September 1999

FRB of New York Staff Report No. 87

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.

Number of Pages in PDF File: 30

Keywords: markov switching, threshold autoregression, smooth transition autoregression

JEL Classification: C11, C12, C32

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Date posted: October 9, 2006  

Suggested Citation

Potter, Simon, Nonlinear Time Series Modelling: An Introduction (September 1999). FRB of New York Staff Report No. 87. Available at SSRN: http://ssrn.com/abstract=935332 or http://dx.doi.org/10.2139/ssrn.935332

Contact Information

Simon Potter (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
212-720-6309 (Phone)
212-720-1844 (Fax)
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