![]() |
![]() |
Your cart is empty |
||
Showing 1 - 5 of 5 matches in All Departments
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.
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.
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.
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.
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.
|
![]() ![]() You may like...
Events that Changed Great Britain from…
Frank W. Thackeray, John E. Findling
Hardcover
R1,837
Discovery Miles 18 370
|