4 - Modelling Nonlinear and Nonstationary Time Series

Abstract

An overview is given of the modelling of nonlinear and nonstationary time series. The emphasis is on the theory for time series that are both nonlinear and nonstationary. But to put that topic into perspective, brief outlines of the theory for nonlinear and stationary and for linear and nonstationary models are also given. Topics such as nonlinear integrated processes and nonlinear cointegrating regression are included, and both parametric and nonparametric estimation are considered.