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Nonlinear models in macroeconometrics

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  • Timo Teräsvirta

    (Aarhus University and CREATES, C.A.S.E., Humboldt-Universität zu Berlin)

Abstract

This article contains a short review of nonlinear models that are applied to modelling macroeconomic time series. Brief descriptions of relevant models, both univariate, dynamic single-equation, and vector autoregressive ones are presented. Their application is illuminated by a number of selected examples.

Suggested Citation

  • Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2017-32
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    File URL: https://repec.econ.au.dk/repec/creates/rp/17/rp17_32.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Markov-switching model; nonlinear time series; random coefficient model; smooth transition model; threshold autoregressive model; vector autoregressive model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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