SSE/EFI Working Paper Series in Economics and Finance
Univariate nonlinear time series models
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.
- 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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