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Introduction to NonlinearEconometrics
Dirk Nachbar
∗
March 1, 2006
∗
Dirk.Nachbar@dwp.gsi.gov.uk
1
Outline1. Introduction2. Methodology3. Application4. Conclusion5. References
2
1. Introduction
Assumptions
Since we all studied economics we touched on basiceconometrics.Some of you might find this boring.
Rationale
As government economists we often make predictionsabout certain outcomes using some econometric rela-tionships. These relationship are usually linear. But aswe live in a complex world many variables are not lin-ear (think of business cycles). Since there is a largeliterature on nonlinear models which can be scary formost of us, I restrict myself here to some simple non-linear models, namely Threshold Autoregressive Models(TAR).
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Nonlinear econometrics
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