Nonlinear time series modelling
an introduction
by 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.
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Subjects
Nonlinear theories, Time-series analysis| Edition | Availability |
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1
Nonlinear time series modelling: an introduction
1999, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/14/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
- 5 revisions
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| December 13, 2020 | Edited by MARC Bot | import existing book |
| July 31, 2012 | Edited by VacuumBot | Updated format '[electronic resource] :' to 'Electronic resource' |
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| October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
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