Aspects of modelling nonlinear time series

This paper surveys some of the recent developments in nonlinear analysis of economic time series. The emphasis lies on stochastic models. Various classes of nonlinear models appearing in the economics and time series literature are presented and discussed. Linearity testing and estimation of nonlinear models, both parametric and nonparametric, are considered as well as post-estimation model evaluation. Data-based nonlinear model building is illustrated with an empirical example.