During the past decade, the popularity of nonlinear models in econometrics has been increasing quite rapidly. Nonlinear models are now widely used for modeling macroeconomic relationships, and they also are used frequently in financial econometrics. The most popular nonlinear models have been univariate. Threshold autoregressive, Markov switching autoregressive, and smooth-transition autoregressive models, just to name a few popular families of models, have been widely applied to modeling of macroeconomic series. Even nonlinear multivariate single-equation models have found application in areas where linear single-equation models traditionally have been used, such as modeling the demand for money, real exchange rates, consumption–income relationship, and house prices. Interest in nonlinearities in the Phillips curve also has grown recently.