Strategies for Modelling Nonlinear Time-Series Relationships

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Strategies for Modelling Nonlinear Time-Series Relationships

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Granger, Clive W J

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Clive W. J. Granger

Abstract

Building models of nonlinear relationships are inherently more difficult than linear ones. There are more possibilities, many more parameters, and, thus, more mistakes can be made. It is suggested that a strategy be applied when attempting such modeling involving testing for linearity, considering just a few model types of parsimonious form and then performing postsample evaluation of the resulting models compared to a linear one. The strategy proposed is a 'simple-to-general'one and the application of a heteroskedasticity correction is not recommended. Copyright 1993 by The Economic Society of Australia.

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Publisher Info
Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 69 (1993)
Issue (Month): 206 (September)
Pages: 233-38
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Handle: RePEc:bla:ecorec:v:69:y:1993:i:206:p:233-38

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