A nonlinear time series model of El Nin˜o

A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Nin˜o 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 Nin˜o 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 Nin˜o Southern Oscillation a few months ahead.