Nonlinear Time Series Modeling: An Introduction
FRB of New York Staff Reports No. 87
30 Pages Posted: 23 Mar 2000
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: 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
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