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Modelling Nonlinear Economic Time Series$
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Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Print publication date: 2010

Print ISBN-13: 9780199587148

Published to Oxford Scholarship Online: May 2011

DOI: 10.1093/acprof:oso/9780199587148.001.0001

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Concepts, models, and definitions

Concepts, models, and definitions

Chapter:
(p.1) 1 Concepts, models, and definitions
Source:
Modelling Nonlinear Economic Time Series
Author(s):

Timo Teräsvirta

Dag Tjøstheim (Contributor Webpage)

W. J. Granger

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199587148.003.0001

This chapter gives a brief overview of the basic concepts and topics used in the book. There exists a large literature on linear stationary models. The purpose of the present book is to look at nonlinear models in both a stationary and nonstationary framework. Linear techniques are contrasted with typical tools used to analyse nonlinearity, such as the conditional mean and the conditional variance, and Markov chain theory. Nonlinear parametric models are mentioned as well as nonparametric ones.

Keywords:   linearity and nonlinearity, stationarity and non‐stationarity

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