Quantitative Macroeconomics: Assignment 5
Nonlinearities
Your assignment is to investigate the nonlinearity of 1 variable (avoid using the same
one as your classmates).
Address the following issues:
1) Do a simple Test for nonlinearity
2) Estimate a nonlinear AR(p) model
3) Estimate a TAR(p) model
4) Estimate a STAR(P) model
5) Estimate a LSTAR or an ESTAR model
6) Which one is your best nonlinear model?
7) Is the prefer model linear or nonlinear?