Nonlinear time series modelling: an introduction
AbstractRecent 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.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 87.
Date of creation: 1999
Date of revision:
Other versions of this item:
- NEP-ALL-1999-10-20 (All new papers)
- NEP-ECM-1999-10-20 (Econometrics)
- NEP-ETS-1999-10-20 (Econometric Time Series)
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