{"id":"https://openalex.org/W1552725931","doi":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","title":"Forecasting With Nonlinear Time Series Models","display_name":"Forecasting With Nonlinear Time Series Models","publication_year":2012,"publication_date":"2012-09-18","ids":{"openalex":"https://openalex.org/W1552725931","doi":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","mag":"1552725931"},"language":"en","primary_location":{"id":"doi:10.1093/oxfordhb/9780195398649.013.0004","doi":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","is_oa":false,"landing_page_url":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","pdf_url":null,"source":{"id":"https://openalex.org/S4306463708","display_name":"Oxford University Press eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Oxford Handbook of Economic Forecasting","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W1573414451","display_name":"The Oxford Handbook of Economic Forecasting"},"type":"book-chapter","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066054838","display_name":"Anders Kock","orcid":"https://orcid.org/0000-0001-9966-1199","observed_orcids":["https://orcid.org/0000-0001-9966-1199"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Anders Bredahl Kock","raw_affiliation_strings":["Economics, Aarhus University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Economics, Aarhus University","institution_ids":["https://openalex.org/I204337017"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060430390","display_name":"Timo Ter\u00e4svirta Y","orcid":"https://orcid.org/0000-0002-0947-2114","observed_orcids":["https://orcid.org/0000-0002-0947-2114"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Timo Ter\u00e4svirta","raw_affiliation_strings":["Economics, Aarhus University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Economics, Aarhus University","institution_ids":["https://openalex.org/I204337017"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I204337017"],"apc_list":null,"apc_paid":null,"fwci":18.4418,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.99482175,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"61","last_page":"88"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/nonlinear-time-series-forecasting","display_name":"nonlinear time series prediction","score":0.859000027179718},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.9879999756813049},{"id":"https://openalex.org/keywords/neural-network-forecasting","display_name":"neural network forecasting","score":0.5619999766349792},{"id":"https://openalex.org/keywords/universal-approximators","display_name":"universal approximators","score":0.6859999895095825},{"id":"https://openalex.org/keywords/multi-step-forecasting","display_name":"multi-step forecasting","score":0.8370000123977661},{"id":"https://openalex.org/keywords/chaotic-systems","display_name":"chaotic systems","score":0.8299999833106995},{"id":"https://openalex.org/keywords/forecast-accuracy","display_name":"forecast accuracy","score":0.6060000061988831},{"id":"https://openalex.org/keywords/economic-time-series","display_name":"economic time series","score":0.7350000143051147}],"concepts":[{"id":"https://openalex.org/C2780129039","wikidata":"https://www.wikidata.org/wiki/Q1931107","display_name":"Section (typography)","level":2,"score":0.7661323547363281},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.6818922758102417},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6696140170097351},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6655192375183105},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5914386510848999},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5490874648094177},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4856666326522827},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.4733084440231323},{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.4709043502807617},{"id":"https://openalex.org/C24574437","wikidata":"https://www.wikidata.org/wiki/Q7135228","display_name":"Parametric model","level":3,"score":0.4612957239151001},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.45793652534484863},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.4483904242515564},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.43517470359802246},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.36303603649139404},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3371208608150482},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.22087359428405762},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.216694176197052},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.16242051124572754},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.08047288656234741},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1093/oxfordhb/9780195398649.013.0004","doi":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","is_oa":false,"landing_page_url":"https://doi.org/10.1093/oxfordhb/9780195398649.013.0004","pdf_url":null,"source":{"id":"https://openalex.org/S4306463708","display_name":"Oxford University Press eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Oxford Handbook of Economic Forecasting","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320309928","display_name":"Aarhus Universitet","ror":"https://ror.org/01aj84f44"},{"id":"https://openalex.org/F4320320943","display_name":"Danmarks Grundforskningsfond","ror":"https://ror.org/00znyv691"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W39739780","https://openalex.org/W51359916","https://openalex.org/W1523820026","https://openalex.org/W1532847467","https://openalex.org/W1559361175","https://openalex.org/W1561376385","https://openalex.org/W1586335931","https://openalex.org/W1595636030","https://openalex.org/W1598869432","https://openalex.org/W1953083403","https://openalex.org/W1964472745","https://openalex.org/W1964743509","https://openalex.org/W1966106237","https://openalex.org/W1971735090","https://openalex.org/W1981169932","https://openalex.org/W1985060014","https://openalex.org/W1992736561","https://openalex.org/W1998018384","https://openalex.org/W1998522803","https://openalex.org/W1999944929","https://openalex.org/W2006430387","https://openalex.org/W2012423731","https://openalex.org/W2019231125","https://openalex.org/W2021912245","https://openalex.org/W2034099719","https://openalex.org/W2034544282","https://openalex.org/W2036787087","https://openalex.org/W2040989045","https://openalex.org/W2055823751","https://openalex.org/W2059571939","https://openalex.org/W2074812030","https://openalex.org/W2078432169","https://openalex.org/W2085742009","https://openalex.org/W2087219345","https://openalex.org/W2087677959","https://openalex.org/W2089387865","https://openalex.org/W2100084310","https://openalex.org/W2103496339","https://openalex.org/W2110849068","https://openalex.org/W2113442785","https://openalex.org/W2123610228","https://openalex.org/W2124316204","https://openalex.org/W2125979918","https://openalex.org/W2126736344","https://openalex.org/W2128597934","https://openalex.org/W2137983211","https://openalex.org/W2145220137","https://openalex.org/W2150300006","https://openalex.org/W2150913357","https://openalex.org/W2155507209","https://openalex.org/W2163788593","https://openalex.org/W2163899311","https://openalex.org/W2286201810","https://openalex.org/W2523718275","https://openalex.org/W3121336424","https://openalex.org/W3121733054","https://openalex.org/W3122607313","https://openalex.org/W3123530756","https://openalex.org/W3123941876","https://openalex.org/W3143691205","https://openalex.org/W4212808836","https://openalex.org/W4238519965","https://openalex.org/W4247829974","https://openalex.org/W6602858662"],"related_works":["https://openalex.org/W1561376385","https://openalex.org/W1555341301","https://openalex.org/W1733055327","https://openalex.org/W4382361851","https://openalex.org/W1605558431","https://openalex.org/W3122620429","https://openalex.org/W3022862395","https://openalex.org/W2018316544","https://openalex.org/W2501855683","https://openalex.org/W1570534951"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"article":[2,50],"considers":[3,57],"nonlinear":[4,82,104],"forecasting":[5],"models,":[6,22,28,71],"such":[7],"as":[8,53],"switching-regime":[9],"models.":[10,64],"These":[11],"models":[12,83],"are":[13,72,110,123],"typically":[14],"\u201csmall\u201d":[15],"compared":[16],"to":[17,31],"vector":[18],"autoregressive":[19],"and":[20,36,103,115,138,143],"factor":[21],"being":[23],"either":[24],"univariate":[25],"or":[26],"single-equation":[27],"but":[29],"tend":[30],"nest":[32],"a":[33,58,118,131],"linear":[34,102],"relationship":[35],"so":[37],"invite":[38],"an":[39],"assessment":[40],"of":[41,60,87,101,106,121],"whether":[42],"allowing":[43],"for":[44,145],"nonlinearity":[45],"improves":[46],"forecast":[47,133],"accuracy.":[48],"The":[49],"is":[51,84,94],"organized":[52],"follows.":[54],"Section":[55,75,88,98,113,126,128,152],"2":[56],"number":[59,120],"parametric":[61],"time":[62,108],"series":[63,109,122],"Some":[65],"universal":[66],"approximators,":[67],"including":[68],"neural":[69],"network":[70],"studied":[73],"in":[74,97,112,125,151],"3.":[76],"Forecasting":[77,90],"several":[78],"periods":[79],"ahead":[80],"with":[81,91],"the":[85],"topic":[86],"4.":[89],"chaotic":[92],"systems":[93],"briefly":[95],"considered":[96],"5.":[99],"Comparisons":[100],"forecasts":[105],"economic":[107],"discussed":[111,124],"6,":[114],"studies":[116],"comprising":[117],"large":[119],"7.":[127],"8":[129],"contains":[130],"limited":[132],"accuracy":[134],"comparison":[135],"between":[136],"recursive":[137],"direct":[139],"forecasts.":[140],"Final":[141],"remarks":[142],"suggestions":[144],"further":[146],"reading":[147],"can":[148],"be":[149],"found":[150],"9.":[153]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}