Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
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.
37 pages, March 29, 2005
Note: This paper has been prepared for Kerry Patterson and Terence C. Mills (eds.), Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, Palgrave Macmillan.
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-01-27 00:01:33.