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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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Nonlinear models in economic theory

Nonlinear models in economic theory

(p.16) 2 Nonlinear models in economic theory
Modelling Nonlinear Economic Time Series

Timo Teräsvirta

Dag Tjøstheim (Contributor Webpage)

W. J. Granger

Oxford University Press

This chapter contains a number of examples of families of nonlinear models in economic theory. These include disequilibrium models that have been applied to modelling markets with rationing or sticky prices, and various labour market models that generate nonlinearities in employment or unemployment. Modelling exchange rates fluctuating within boundaries set by the central bank that define the so‐called target zone of the exchange rate is also discussed. Production theory, in which nonlinear models are common, constitutes the last example. For all of these four areas, examples of application of these models to time series or cross‐section data are described.

Keywords:   disequilibrium model, exchange rate, production function, target zone model, unemployment rate

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