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The Economic Research Institute, Stockholm School of Economics 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

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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

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