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Modelling Nonlinear Economic Time Series$
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Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Print publication date: 2010

Print ISBN-13: 9780199587148

Published to Oxford Scholarship Online: May 2011

DOI: 10.1093/acprof:oso/9780199587148.001.0001

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16 Building nonlinear models

16 Building nonlinear models

(p.370) 16 Building nonlinear models
Modelling Nonlinear Economic Time Series

Timo Teräsvirta

Dag Tjøstheim (Contributor Webpage)

W. J. Granger

Oxford University Press

The topic of this chapter is nonlinear model building. Building non‐parametric models is considered first, followed by building various types of parametric nonlinear models. The latter include smooth transition, switching regression, and artificial neural network models. The three stages of model building: specification, estimation and evaluation, are illustrated by a number of empirical examples involving both economic and non‐economic time series and data sets.

Keywords:   artificial neural network, Markov switching regression, nonlinear model building, model evaluation, model specification, nonparametric model, smooth transition regression, switching regression, threshold autoregression

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