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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:

Series: Advanced Texts in Econometrics

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This chapter contains a brief overview of three different topics. First, effects of aggregation of nonlinear models are considered. The second topic is modelling time‐varying seasonal variation in economic time series. Finally, there is a discussion of outliers and nonlinearity, as outliers can lead to erroneous statements about nonlinearity. Also, time series generated by nonlinear models may contain observations that look like outliers but are not.

Keywords: aggregation over time; outliers in economic time series; time‐varying seasonality

Chapter.  7730 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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