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 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. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2.

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

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