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Univariate nonlinear time series models

Author

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  • Teräsvirta, Timo

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

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.

Suggested Citation

  • Teräsvirta, Timo, 2005. "Univariate nonlinear time series models," SSE/EFI Working Paper Series in Economics and Finance 593, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0593
    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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    Cited by:

    1. Kurmaş Akdoğan, 2017. "Unemployment hysteresis and structural change in Europe," Empirical Economics, Springer, vol. 53(4), pages 1415-1440, December.

    More about this item

    Keywords

    Hidden Markov model; linearity test; neural network; nonlinear model building; threshold autoregressive model; smooth transition autoregressive model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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