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Nonlinear Time Series Modelling: An Introduction
Author(s) -
Potter Simon
Publication year - 1999
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/1467-6419.00096
Subject(s) - bayesian vector autoregression , nonlinear system , autoregressive model , series (stratigraphy) , impulse response , econometrics , bayesian probability , markov chain , parametric statistics , time series , vector autoregression , mathematics , computer science , economics , statistics , physics , paleontology , mathematical analysis , quantum mechanics , biology
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 three types of model. Finally forecasting and impulse response analysis is developed.