Nonlinear Econometric Modelling: A Selective Review

In recent years nonlinear econometric modelling has received increasing attention in econometrics. This is not to say, however, that nonlinear phenomena have not been considered an important aspect of economics for many decades. Rather, as statistical and econometric methodology has developed, our ability to formulate, and more importantly, estimate nonlinear models have increased. However, as with all sciences and social sciences, nonlinear theories and models have been around virtually from the beginning. Although many examples can be brought to bear in support of this notion, one need really simply consider business cycles, which have long been known to exhibit various seasonal and cyclical nonlinearities (for example, see Burns and Mitchell (1946)).

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