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| Author: | Potter, S. M. |
| Title: | Nonlinear time series modelling: An introduction |
| Journal: | Journal of Economic Surveys
1999 : DEC, VOL. 13:5, p. 505-528 |
| Index terms: | Time series Models |
| Language: | eng |
| Abstract: | In this paper, recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear model 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 3 types of model. Finally, forecasting and impulse response analysis is developed. |
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