Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory
William A. Barnett
Cambridge University Press, May 22, 2000 - Business & Economics - 227 pages
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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applied Assumption asymmetric asymptotic normality Autoregressive Models bispectrum business cycle cointegrating vector cointegration conditional variance consider constant currency defined dynamic DZ,_ Econometrica empirical equation equilibrium error correction Escribano estimation finite Gaussian Granger heteroskedasticity Hinich homoscedastic implies impulse responses inequality inference integration interest rates interest-rate Johansen Journal of Econometrics lag length Liitkepohl likelihood function linear combinations linear model LRirace macroeconomic marginal likelihood matrix maximum likelihood mean monetary aggregates monetary services nonlinear functions nonlinear models nonlinear time series nonparametric norm null hypothesis obtained outlier models p-values paper parameter posterior density prior problem Proof of Lemma quantity variance regime models regression models relationship risk term risk-premium risk-related term Saikkonen sample Schwarz criterion Section specification stationary STECM step transition stochastic processes structural break model switching Terasvirta 1993 test statistic Theorem threshold transition function University University of Aarhus variable VECM Vector Autoregressive volatility zero