Transcription of Nonlinear Time Series Models - University of Washington
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Nonlinear Time Series Models - University of Washington
This is page 651 Printer: Opaque this18 Nonlinear time Series IntroductionMost of the time Series Models discussed in the previous chapters are lin-ear time Series Models . Although they remain at the forefront of academicand applied research, it has often been found that simple linear time seriesmodels usually leave certain aspects of economic andfinancial data un-explained. Since economic andfinancial systems are known to go throughboth structural and behavioral changes, it is reasonable to assume that dif-ferent time Series Models may be required to explain the empirical data atdifferent times. This chapter introduces some popular Nonlinear time seriesmodels that have been found to be effective at modeling Nonlinear behaviorin economic andfinancial time Series model Nonlinear behavior in economic andfinancial time Series , itseems natural to allow for the existence of differentstates of the worldorregimesand to allow the dynamics to be different in different regimes.
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.
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