Modelling Nonlinear Economic Relationships

by Clive W. J. Granger, Timo Terïsvirta

Overview

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 Teräsvirta 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.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Product Details

ISBN-13:	9780198773207
Publisher:	Oxford University Press
Publication date:	12/02/1993
Series:	Advanced Texts in Econometrics
Edition description:	New Edition
Pages:	198
Product dimensions:	9.19(w) x 6.19(h) x 0.46(d)

About the Author

University of California, San Diego

Bank of Norway, Oslo

Editorial Reviews

"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

From the Publisher