Nonlinear dynamics and econometrics: AN introduction

@inproceedings{Pesaran1992NonlinearDA,
  title={Nonlinear dynamics and econometrics: AN introduction},
  author={Mohammad Hashem Pesaran and Simon M. Potter},
  year={1992}
}
The empirical modelling of economic time series is dominated by methods that assume linearity of the underlying dynamic economic system, the so-called Frisch-Slutsky paradigm. The main a priori argument in favour of linearity and the reason for its original adoption is its simplicity: autoregressive models can be estimated using standard regression packages and there is now a wide range of computer software packages available to estimate models with linear moving average components; the… CONTINUE READING

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