Abstract
Linear models have traditionally dominated the time series analysis of macroeconomic and financial data. Evidence of nonlinear behavior in the dynamic behavior of such data would imply that the conventional linear models are misspecified. As a result of such model misspecification, appropriately specified nonlinear forecasts would generally be superior to the optimal linear forecast.KeywordsTime ReversibilityNominal SizeVolterra SeriesNonlinear Time SeriesBilinear ModelThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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