Nonlinear Autoregression

Abstract

The decade of 1990’s has seen an exponential growth in the applications of nonlinear autoregressive models (AR) to economics, finance and other sciences. Tong (1990) illustrates the usefulness of homoscedastic AR models in a large class of applied examples from physical sciences while Gouriéroux (1997) contains several examples from economics and finance where the ARCH (autoregressive conditional heteroscedastic) models of Engle (1982) and its various generalizations are found useful. Most of the existing literature has focused on developing classical inference procedures in these models. The theoretical development of the analogues of the estimators discussed in the previous sections that are known to be robust against outliers in the innovations in linear AR models has relatively lagged behind.