Nonlinear Time Series Modelling : An Introduction

Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests for nonlinearity are reviewed with examples from the three types of models. Finally, forecasting and impulse response analysis is developed

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Year of publication:	[2006]
Authors:	Potter, Simon M.
Publisher:	[2006]: [S.l.] : SSRN

Extent:	1 Online-Ressource (30 p)
Series:	FRB of New York Staff Report ; No. 87
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1999 erstellt
Other identifiers:	10.2139/ssrn.935332 [DOI]
Classification:	C11 - Bayesian Analysis ; C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012732803