Nonlinear time series modelling
Subtitle: an introduction
By: Simon M. Potter.
Contributors: Federal Reserve Bank of New York.
Series: Staff reports ;; no. 87; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 87.
Publisher: Federal Reserve Bank of New York
Published: 1999
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Time-series analysis.; Nonlinear theories.
Description: "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.
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.