Nonlinear Models in Macroeconometrics

Many nonlinear time series models have been around for a long time and have originated outside of time series econometrics. The stochastic models popular univariate, dynamic single-equation, and vector autoregressive are presented and their properties considered. Deterministic nonlinear models are n...

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Bibliographic details
Main Author:	Timo Teräsvirta
Format:	Reference
Language:	English
Place of publication:	Oxford University Press 02.10.2017 Institut for Økonomi, Aarhus Universitet
published in:	Oxford Research Encyclopedia of Economics and Finance
Data of publication:	2017-10-02
ISBN:	9780190625979 019062597X
Subjects:	Markov-switching model, nonlinear time series, random coefficient model, smooth transition model, threshold autoregressive model, vector autoregressive model smooth transition model Markov-switching model nonlinear panel model nonlinear time series threshold autoregressive model random coefficient model vector autoregressive model
Online Access:	available in Bonn?
Database:	OpenAIRE OpenAIRE (Open Access) Database information Databases - DBIS