Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory

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William A. Barnett
Cambridge University Press, May 22, 2000 - Business & Economics - 227 pages
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Nonlinear Econometric Modeling in Time Series presents some recent developments in this area of research. While many of the prior volumes in this series have included investigations on nonlinearity and complex dynamics in economic theory and in structural econometric modeling , 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.
 

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Contents

Timo Terdsvirta Dag Tj0stheim Allan Wurtz
9
William A Bamett Barry E Jones Travis D Nesmith
31
Nonlinearity structural breaks or outliers in economic
61
Bayesian analysis of nonlinear time series models
79
Consistency and asymptotic
119
Asymptotic inference on nonlinear functions of
165
Nonlinear errorcorrection models for interest rates
203
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