A unified approach to nonlinearity, structural change and outliers

@inproceedings{Giordani2005AUA,
  title={A unified approach to nonlinearity, structural change and outliers},
  author={Paolo Giordani and Robert Kohn and Dick van Dijk},
  year={2005}
}
This paper demonstrates that the class of conditionally linear and Gaussian statespace models offers a general and convenient framework for simultaneously handling nonlinearity, structural change and outliers in time series. Many popular nonlinear time series models, including threshold, smooth transition and Markov-Switching models, can be written in state-space form. It is then straightforward to add components that capture parameter instability and intervention effects. We advocate a… CONTINUE READING

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