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Modelling Nonlinear Economic Time Series
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Modelling Nonlinear Economic Time Series

Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Abstract

This book contains a up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows these models can be applied in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation, and evaluation, is ... More

Keywords: nonlinear, stationary, nonstationary, parametric, nonparametric, forecasting, heteroskedasticity, models

Bibliographic Information

Print publication date: 2010 Print ISBN-13: 9780199587148
Published to Oxford Scholarship Online: May 2011 DOI:10.1093/acprof:oso/9780199587148.001.0001

Authors

Affiliations are at time of print publication.

Timo Teräsvirta, author
Professor of Economics, CREATES, Aarhus University, Denmark

Dag Tjøstheim, author
Professor, Department of Mathematics, University of Bergen, Norway
Author Webpage

Clive W. J. Granger, author