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

by William A. Barnett
     
 

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ISBN-10: 052102868X

ISBN-13: 9780521028684

Pub. Date: 03/31/2006

Publisher: Cambridge University Press

Eight selected and refereed papers mark the symposium's first dive into nonlinear time series. Economists from Europe and the US report recent research into co-integration tests and non-linearity, risk-related asymmetries in foreign exchange markets, the Bayesian analysis of nonlinear time series models with a threshold, asymptotic inference on nonlinear functions of

Overview

Eight selected and refereed papers mark the symposium's first dive into nonlinear time series. Economists from Europe and the US report recent research into co-integration tests and non-linearity, risk-related asymmetries in foreign exchange markets, the Bayesian analysis of nonlinear time series models with a threshold, asymptotic inference on nonlinear functions of the coefficients of infinite order co-integrated vector auto-regressive processes, and nonlinear error- correction models for interest rates in the Netherlands. There is no index. Annotation c. Book News, Inc., Portland, OR

Product Details

ISBN-13:
9780521028684
Publisher:
Cambridge University Press
Publication date:
03/31/2006
Series:
International Symposia in Economic Theory and Econometrics Series, #11
Edition description:
1ST
Pages:
240
Product dimensions:
5.98(w) x 8.98(h) x 0.55(d)

Related Subjects

Table of Contents

Series editor's preface; Contributors; 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz; 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith; 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini; 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter; 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano; 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano; 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lütkepohl; 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.

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