Nonlinear Time Series Modelling: An Introduction

30 Pages Posted: 9 Oct 2006  

Simon Potter

Federal Reserve Bank of New York

Date Written: September 1999

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.

Keywords: markov switching, threshold autoregression, smooth transition autoregression

JEL Classification: C11, C12, C32

Suggested Citation

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

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)

Paper statistics

Downloads
152
Rank
159,654
Abstract Views
531