Overview of nonlinear macroeconometric empirical models

A survey of nonlinear multivariate macro empirical models is attempted. Alt hough theory may suggest that nonlinearity is to be expected, empirical stu dies have difficulty in discovering strong consistent effects. Regime switc hing techniques appear to be the most successful and evidence of nonlineari ty is most found for interest rates. Most of the studies emphasize model fi tting rather than model evaluation. which limits their usefulness.