Modelling nonlinear economic time series

This volume is a comprehensive assessment of many recent developments in the modelling of time series. The focus is on introducing various nonlinear modelsand discussing their practical use, and encouraging the reader to apply nonlinear models to their practical modelling problems. INDICE: 1: Concepts, models and definitions; 2: Nonlinear models in economic theory; 3: Parametric nonlinear models; 4: The nonparametric approach; 5: Parametric linearity tests; 6: Testing parameter constancy; 7: Nonparametricspecification tests; 8: Conditional heteroskedasticity; 9: State space models; 10: Nonparametric models; 11: Nonlinear and nonstationary models; 12: Estimating parametric models; 13: Basic nonparametric estimates; 14: Forecasting from nonlinear models; 15: Nonlinear impulse responses; 16: Building nonlinear models; 17: Other topics

• ISBN: 978-0-19-958715-5
• Editorial: Oxford University
• Encuadernacion: Rústica
• Páginas: 592
• Fecha Publicación: 16/12/2010
• Nº Volúmenes: 1
• Idioma: Inglés