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A nonlinear time series model of El Niño

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Author Info

  • 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)

Abstract

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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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 263.

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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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Related research

Keywords: Smooth transition autoregression; Nonlinearity; Time series model; El Niño; Southern Oscillation;

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Cited by:
  1. Chu, L. & McAleer, M.J. & Chen, C-C., 2009. "How Volatile is ENSO?," Econometric Institute Research Papers EI 2009-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  3. Balagtas, Joseph Valdes & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Tack, Jesse B. & Ubilava, David, 2012. "The Effect of the El Nino Southern Oscillation on U.S. Corn Production and Downside Risk," 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama 119785, Southern Agricultural Economics Association.
  5. Andreas Röthig & Carl Chiarella, 2006. "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series 172, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Ubilava, David & Holt, Matthew T., 2009. "Nonlinearities in the World Vegetable Oil Price System: El Nino Effects," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49360, Agricultural and Applied Economics Association.
  7. Ubilava, David, 2013. "El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152202, Australian Agricultural and Resource Economics Society.
  8. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.

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