Show Summary Details

Page of

Printed from Oxford Research Encyclopedias, Economics and Finance. Under the terms of the licence agreement, an individual user may print out a single article for personal use (for details see Privacy Policy and Legal Notice).

date: 28 March 2025

Nonlinear Models in Macroeconometricslocked

Nonlinear Models in Macroeconometricslocked

  • Timo TeräsvirtaTimo TeräsvirtaCenter for Research in Econometric Analysis of Time Series (CREATES), Aarhus University

Summary

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 not reviewed. The use of nonlinear vector autoregressive models in macroeconometrics seems to be increasing, and because this may be viewed as a rather recent development, they receive somewhat more attention than their univariate counterparts. Vector threshold autoregressive, smooth transition autoregressive, Markov-switching, and random coefficient autoregressive models are covered along with nonlinear generalizations of vector autoregressive models with cointegrated variables. Two nonlinear panel models, although they cannot be argued to be typically macroeconometric models, have, however, been frequently applied to macroeconomic data as well. The use of all these models in macroeconomics is highlighted with applications in which model selection, an often difficult issue in nonlinear models, has received due attention. Given the large amount of nonlinear time series models, no unique best method of choosing between them seems to be available.

Subjects

  • Econometrics, Experimental and Quantitative Methods
  • Macroeconomics and Monetary Economics

You do not currently have access to this article

Login

Please login to access the full content.

Subscribe

Access to the full content requires a subscription