A nonlinear time series model of El Niño
AbstractA 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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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 263.
Length: 25 pages
Date of creation: 28 Sep 1998
Date of revision:
Publication status: Published in Environmental Modelling and Software, 2001, pages 139-146.
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Smooth transition autoregression; Nonlinearity; Time series model; El Niño; Southern Oscillation;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-08 (All new papers)
- NEP-ECM-1998-10-08 (Econometrics)
- NEP-ENV-1998-10-08 (Environmental Economics)
- NEP-ETS-1998-10-08 (Econometric Time Series)
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