Chapter

Building nonlinear models

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0016

Series: Advanced Texts in Econometrics

Building nonlinear models

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The topic of this chapter is nonlinear model building. Building non‐parametric models is considered first, followed by building various types of parametric nonlinear models. The latter include smooth transition, switching regression, and artificial neural network models. The three stages of model building: specification, estimation and evaluation, are illustrated by a number of empirical examples involving both economic and non‐economic time series and data sets.

Keywords: artificial neural network; Markov switching regression; nonlinear model building; model evaluation; model specification; nonparametric model; smooth transition regression; switching regression; threshold autoregression

Chapter.  32584 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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