Nonlinear time series modelling

de Simon M. Potter

"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.

Más obras de Simon M. Potter

Nonlinear dynamics, chaos, and econometrics

Surveys in economic dynamics

FFluctuations in confidence and asymmetric business cycles

Fluctuations in confidence and asymmetric business cycles