Modelling Nonlinear Economic Relationships
(Sprache: Englisch)
This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Terasvirta illustrate ways of using dynamic,...
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Klappentext zu „Modelling Nonlinear Economic Relationships “
This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Terasvirta illustrate ways of using dynamic, multivariate analysis techniques to provide models of nonlinear relationships between variables. They pay particular attention to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. They also discuss the division of nonlinear relationships into parametric and nonparametric models. The developments detailed in this book will be useful to econometricians who need to construct or use models of nonlinear, dynamic, multivariate relationships, such as an investment or production function.
Inhaltsverzeichnis zu „Modelling Nonlinear Economic Relationships “
Basic concepts; general models and tools for analysis; nonlinear models in economic theory; particular nonlinear multivariate models; long memory models; linearity testing; building nonlinear models; forecasting, aggression and non-symmetry; applications; strategies for nonlinear modelling.
Bibliographische Angaben
- Autoren: Timo Terasvirta , Clive W. J. Granger , T. Terasvirta
- 200 Seiten, Maße: 15,6 x 23,4 cm, Kartoniert (TB), Englisch
- Verlag: OUP Oxford
- ISBN-10: 019877320X
- ISBN-13: 9780198773207
- Erscheinungsdatum: 07.10.1993
Sprache:
Englisch
Rezension zu „Modelling Nonlinear Economic Relationships “
"A good introductory text on this topic, and should be accessible to graduate students and professional economists, even those with just a basic background in econometrics and time series analysis."--The Southern Economic Journal"A highly readable account of nonlinear time series....Will be extremely useful to researchers as well as students." --Sunil Sapra, Assoc. Professor of Economics and Statistics, California State University
."..provides a clear and useful review of the state of the art on nonlinear modelling in econometrics. "--Econometric Reviews
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