Nonlinear time series modelling
an introduction
Edición de la obra Nonlinear time series modelling
| Autor | Simon M. Potter |
|---|---|
| Editorial | Federal Reserve Bank of New York |
| Fecha de publicación | 1999 |
| Lugar | [New York, N.Y.] |
| Idioma | inglés |
| Formato | Electronic resource |
| LCCN | 2005616517 |
| Serie | Staff reports ; · no. 87 · Staff reports (Federal Reserve Bank of New York : Online) ; |
| Número de Cutter | P869n |
"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"--Federal Reserve Bank of New York web site.