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Modelling Nonlinear Economic Time Series (Hardcover): Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger Modelling Nonlinear Economic Time Series (Hardcover)
Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger
R4,017 Discovery Miles 40 170 Ships in 12 - 19 working days

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.
Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

Nonlinear Econometric Modeling in Time Series - Proceedings of the Eleventh International Symposium in Economic Theory... Nonlinear Econometric Modeling in Time Series - Proceedings of the Eleventh International Symposium in Economic Theory (Paperback, New ed)
William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Terasvirta, Dag Tjostheim, …
R1,451 Discovery Miles 14 510 Ships in 12 - 19 working days

Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.

Modelling Nonlinear Economic Time Series (Paperback, New): Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger Modelling Nonlinear Economic Time Series (Paperback, New)
Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger
R1,918 Discovery Miles 19 180 Ships in 12 - 19 working days

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.
Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

Nonlinear Econometric Modeling in Time Series - Proceedings of the Eleventh International Symposium in Economic Theory... Nonlinear Econometric Modeling in Time Series - Proceedings of the Eleventh International Symposium in Economic Theory (Hardcover)
William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Terasvirta, Dag Tjostheim, …
R3,253 Discovery Miles 32 530 Ships in 12 - 19 working days

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.

Modelling Non-Linear Economic Relationships (Paperback): Clive W. J. Granger, Timo Terasvirta Modelling Non-Linear Economic Relationships (Paperback)
Clive W. J. Granger, Timo Terasvirta
R1,756 Discovery Miles 17 560 Ships in 12 - 19 working days

The series Advanced Texts in Econometrics allows leading econometricians to summarize the theretical areas in which they have made a contribution. This volume surveys and summarizes new work linking theoretical developments in nonlinear analysis to current models of the economy.

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