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
     
 

ISBN-10: 0521594243

ISBN-13: 9780521594240

Pub. Date: 04/28/2015

Publisher: Cambridge University Press

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…  See more details below

Overview

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.

Product Details

ISBN-13:
9780521594240
Publisher:
Cambridge University Press
Publication date:
04/28/2015
Series:
International Symposia in Economic Theory and Econometrics Series, #11
Edition description:
New Edition
Pages:
240
Product dimensions:
5.98(w) x 8.98(h) x 0.79(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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