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Modelling Nonlinear Economic Relationships
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Paperback
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Artikel-Nr:
9780198773207
Veröffentl:
1993
Einband:
Paperback
Erscheinungsdatum:
07.10.1993
Seiten:
200
Autor:
Timo Terasvirta
Gewicht:
313 g
Format:
234x156x11 mm
Sprache:
Englisch
Beschreibung:
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.
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.