Univariate nonlinear time series models
In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of modelling nonlinear series within a predetermined family of models are discussed thereafter. Forecasting with nonlinear models also has its own section. A brief set of final remarks closes the chapter.
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|Date of creation:||29 Mar 2005|
|Date of revision:|
|Publication status:||Published in Palgrave Handbook of Econometrics, Volume 1: Econometrics, Patterson, Kerry, Mills, Terence C. (eds.), 2006, chapter 10, pages 396-424, Palgrave Macmillan.|
|Note:||This paper has been prepared for Kerry Patterson and Terence C. Mills (eds.), Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, Palgrave Macmillan.|
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