Nonlinear Time Series Modelling: An Introduction
Federal Reserve Bank of New York
FRB of New York Staff Report No. 87
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
Date posted: October 9, 2006