Hall, Anthony D. () (School of Finance and Economics, University of Technology, Sydney) Skalin, Joakim () (Dept for Economic Affairs, Ministry of Finance) Teräsvirta, Timo () (Dept. of Economic Statistics, Stockholm School of Economics)
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A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most turbulent periods in the data (these correspond to El Niño events) better than a linear autoregressive model. The estimated nonlinear model passes a battery of diagnostic tests. A generalised impulse response function indicates local instability, but as deterministic extrapolation from the estimated model converges, the nonlinear model may still be useful for forecasting the El Niño Southern Oscillation a few months ahead.
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Length: 25 pages Date of creation: 28 Sep 1998 Date of revision: Publication status: Published in Environmental Modelling and Software, 2001, pages 139-146. Handle: RePEc:hhs:hastef:0263
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