Nonlinear Time Series Models - University of Washington

faculty.washington.edu

threshold AR models and two tests for threshold nonlinearity, and Sec-tion 18.4 introduces smooth transition AR (STAR) models and a test for STAR nonlinearity. Finally Section 18.5 describes the Markov switching state space models and Section 18.6 gives an extended example of how to estimate Markov switching models in S+FinMetrics.

  Series, Model, Switching, University, Time, Washington, University of washington, Nonlinear, Nonlinear time series models, Switching models