A nonlinear time series model of El Niño

Hall, AD; Skalin, J; Teräsvirta, T

A nonlinear time series model of El Niño

Hall, AD

Skalin, J Teräsvirta, T

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Publication Type:: Journal Article
Citation:: Environmental Modelling and Software, 2001, 16 (2), pp. 139 - 146
Issue Date:: 2001-01-01

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Field	Value	Language
dc.contributor.author	Hall, AD https://orcid.org/0000-0002-9724-951X	en_US
dc.contributor.author	Skalin, J	en_US
dc.contributor.author	Teräsvirta, T	en_US
dc.date.issued	2001-01-01	en_US
dc.identifier.citation	Environmental Modelling and Software, 2001, 16 (2), pp. 139 - 146	en_US
dc.identifier.issn	1364-8152	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3604
dc.description.abstract	A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most turbulent periods in the data (these correspond to El Niño events) better than a linear autoregressive model. The estimated nonlinear model passes a battery of diagnostic tests. A generalised impulse response function indicates local instability, but as deterministic extrapolation from the estimated model converges, the nonlinear model may still be useful for forecasting the El Niño Southern Oscillation a few months ahead. © 2001 Elsevier Science Ltd.	en_US
dc.relation.ispartof	Environmental Modelling and Software	en_US
dc.relation.isbasedon	10.1016/S1364-8152(00)00077-3	en_US
dc.subject.classification	Environmental Engineering	en_US
dc.title	A nonlinear time series model of El Niño	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	16	en_US
utslib.for	150201 Finance	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	150202 Financial Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	16	en_US

Abstract:

A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Niño events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most turbulent periods in the data (these correspond to El Niño events) better than a linear autoregressive model. The estimated nonlinear model passes a battery of diagnostic tests. A generalised impulse response function indicates local instability, but as deterministic extrapolation from the estimated model converges, the nonlinear model may still be useful for forecasting the El Niño Southern Oscillation a few months ahead. © 2001 Elsevier Science Ltd.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/3604