Nonlinear Time Series Modeling: An Introduction

FRB of New York Staff Reports No. 87

30 Pages Posted: 23 Mar 2000

See all articles by Simon Potter

Simon Potter

Peter G. Peterson Institute for International Economics

Date Written: September 1999

Abstract

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

JEL Classification: C11, C12, C32

Suggested Citation

Potter, Simon, Nonlinear Time Series Modeling: An Introduction (September 1999). FRB of New York Staff Reports No. 87, Available at SSRN: https://ssrn.com/abstract=207928 or http://dx.doi.org/10.2139/ssrn.207928

Simon Potter (Contact Author)

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

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