Report
Nonlinear time series modelling: an introduction
Abstract: 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.
Keywords: time series analysis;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 1999
Number: 87