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

ISBN-13: 9780521594240 / Angielski / Twarda / 2000 / 240 str.

St Louis) William A. Barnett (Washington University; Oxford) David F. Hendry (Nuffield College; Denmark) Svend Hylleberg (Aarhus Universitet

Opis

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. 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.

Recenzje

'It seems clear that empirical econometric models based on time series data will be, if anything, nonlinear in nature. This book contains high level contributions to the theory and the application of nonlinear time series models. Its chapters reflect the diversity of topics and approaches in a field that is fundamentally relevant for both macroeconomics and econometrics.' Luc Bauwens, CORE, Université catholique de Louvain, Belgium

Spis treści

Series editor's preface; Contributors; 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz; 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith; 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini; 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter; 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano; 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano; 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lütkepohl; 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.