STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS
- 1 January 1980
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 1 (1) , 47-71
- https://doi.org/10.1111/j.1467-9892.1980.tb00300.x
Abstract
We construct a general class of non‐linear models, called ‘state‐dependent models’, which have a very flexible non‐linear structure and which contain, as special cases, bilinear, threshold autoregressive, and exponential autoregressive models. We describe a sequential type of recursive algorithm for identifying state‐dependent models, and show how such models may be used for forecasting and for indicating specific types of non‐linear behaviour.Keywords
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