Jump to ContentJump to Main Navigation
Modelling Nonlinear Economic Time Series$
Users without a subscription are not able to see the full content.

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

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 21 November 2019

Other Topics

Other Topics

Chapter:
(p.452) 17 Other Topics
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/9780199587148.003.0017

This chapter contains a brief overview of three different topics. First, effects of aggregation of nonlinear models are considered. The second topic is modelling time‐varying seasonal variation in economic time series. Finally, there is a discussion of outliers and nonlinearity, as outliers can lead to erroneous statements about nonlinearity. Also, time series generated by nonlinear models may contain observations that look like outliers but are not.

Keywords:   aggregation over time, outliers in economic time series, time‐varying seasonality

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .