Nonlinear Time Series Modelling: An Introduction - FEDERAL RESERVE BANK of NEW YORK

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Staff Reports

Nonlinear Time Series Modelling: An Introduction

September 1999Number 87

JEL classification: C11, C12, C32

Author: Simon M. Potter

Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of models. Finally, forecasting and impulse response analysis is developed.

Available only in PDF PDF

30 pages / 250 kb

For a published version of this report, see Simon M. Potter, "Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys 13, no. 5 (December 1999): 505-28.

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