SSE/EFI Working Paper Series in Economics and Finance
No 263:
A nonlinear time series model of El Niņo
Anthony D. Hall ()
, Joakim Skalin ()
and Timo Teräsvirta ()
Abstract: A smooth transition autoregressive model is estimated for
the Southern Oscillation Index, an index commonly used as a measure of El
Niņo events. Using standard measures there is no indication of
nonstationarity in the index. A logistic smooth transition autoregressive
model describes the most turbulent periods in the data (these correspond to
El Niņo events) better than a linear autoregressive model. The estimated
nonlinear model passes a battery of diagnostic tests. A generalised impulse
response function indicates local instability, but as deterministic
extrapolation from the estimated model converges, the nonlinear model may
still be useful for forecasting the El Niņo Southern Oscillation a few
months ahead.
Keywords: Smooth transition autoregression; Nonlinearity; Time series model; El Niņo; Southern Oscillation; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
25 pages, September 28, 1998
Download Statistics
- This paper is published as:
-
Hall, Anthony D., Joakim Skalin and Timo Teräsvirta, (2001), 'A nonlinear time series model of El Niņo', Environmental Modelling and Software, Vol. 16, pages 139-146
Questions (including download problems) about the papers in this series should be directed to Björn Thodenius ()
Report other problems with accessing this service to Sune Karlsson ()
or Björn Thodenius ().
Programing by
Design by Joachim Ekebom
