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Nonlinear Time Series Modelling: An Introduction

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Author Info
 Potter, Simon M

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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. Copyright 1999 by Blackwell Publishers Ltd

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Article provided by Blackwell Publishing in its journal Journal of Economic Surveys.

Volume (Year): 13 (1999)
Issue (Month): 5 (December)
Pages: 505-28
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Handle: RePEc:bla:jecsur:v:13:y:1999:i:5:p:505-28

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  2. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
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  3. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De. [Downloadable!] (restricted)
  4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
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  5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  6. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July. [Downloadable!] (restricted)
  7. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
  8. Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May. [Downloadable!] (restricted)
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  9. Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149. [Downloadable!] (restricted)
  10. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April. [Downloadable!] (restricted)
  11. Simon M. Potter, 1999. "Nonlinear impulse response functions," Staff Reports 65, Federal Reserve Bank of New York. [Downloadable!]
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  12. Lubrano, M., 1998. "Bayesian Analysis of Nonlinear Time Series Models with a Threshold," G.R.E.Q.A.M. 98a13, Universite Aix-Marseille III.
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  13. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)
  14. Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November. [Downloadable!] (restricted)
  15. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun. [Downloadable!] (restricted)
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  16. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA. [Downloadable!]
  2. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
  3. Konstantin A., Kholodilin, 2003. "Identifying and Forecasting the Turns of the Japanese Business Cycle," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2003008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  4. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Papers in Applied Economic Theory 2002-13, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  5. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany. [Downloadable!]
  6. Diego Valderrama, 2002. "The impact of financial frictions on a small open economy: when current account borrowing hits a limit," Working Papers in Applied Economic Theory 2002-15, Federal Reserve Bank of San Francisco. [Downloadable!]
  7. Boriss Siliverstovs, 2005. "The Bi-parameter Smooth Transition Autoregressive model," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-11. [Downloadable!]
    Other versions:
  8. Konstantin A. Kholodilin, 2002. "Two Alternative Approaches to Modelling the Nonlinear Dynamics of the Composite Economic Indicator," Economics Bulletin, Economics Bulletin, vol. 3(26), pages 1-18. [Downloadable!]
    Other versions:
  9. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  10. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309_v1, HAL. [Downloadable!]
  11. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
    Other versions:
  12. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries," Working Papers 36, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]
    Other versions:
  13. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Society for Economic Research, vol. 17(2), pages 63-72, Autumn. [Downloadable!]
  14. Theodore Panagiotidis & Gianluigi Pelloni, 2005. "Non-Linearity in the Canadian and US Labour Market: Univariate and Multivariate Evidence from a battery of tests," Discussion Paper Series 2005_8, Department of Economics, Loughborough University, revised Aug 2005. [Downloadable!]
    Other versions:
  15. Mejia-Reyes, P., 2004. "Classical Business Cycles in America: Are National Business Cycles Synchronised?," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(3), pages 75-102. [Downloadable!]
  16. Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," NBER Working Papers 10583, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics. [Downloadable!]
  18. Christian A. Johnson, 2000. "Un Modelo de Switching para el Crecimiento en Chile," Working Papers Central Bank of Chile 84, Central Bank of Chile. [Downloadable!]
    Other versions:
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