In this course, it is aimed to teach non-linear time series methods, which are important and current part of time series analysis, and to gain the skill of interpretation and application. The importance of nonlinearity and its effects on classical time series methods will be emphasized. It is aimed to teach the economical application and interpretation of nonlinear time series methods with applications to be made using econometric software.

It is aimed to estimate MTAR, SETAR and STAR model structures from nonlinear models, unit root tests, cointegration tests and error correction models created using these model structures.