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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 593:
Univariate nonlinear time series models

Timo Teräsvirta ()

Abstract: In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of modelling nonlinear series within a predetermined family of models are discussed thereafter. Forecasting with nonlinear models also has its own section. A brief set of final remarks closes the chapter.

Keywords: Hidden Markov model; linearity test; neural network; nonlinear model building; threshold autoregressive model; smooth transition autoregressive model; (follow links to similar papers)

JEL-Codes: C22; C52; (follow links to similar papers)

37 pages, March 29, 2005

This paper has been prepared for Kerry Patterson and Terence C. Mills (eds.), Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, Palgrave Macmillan.

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This paper is published as:
Teräsvirta, Timo, (2006), 'Univariate nonlinear time series models' in Patterson, Kerry and Terence C. Mills (eds.) Palgrave Handbook of Econometrics, Volume 1: Econometrics, chapter 10, pages 396-424, Palgrave Macmillan.



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