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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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The nonparametric approach

The nonparametric approach

Chapter:
(p.52) 4 The nonparametric approach
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/9780199587148.003.0004

In linear modelling nonparametric quantities such as the autocorrelation and spectrum are important. In this chapter the limitations of these concepts in a nonlinear context are highlighted, and it is shown that the conditional mean and the conditional variance can be more useful. The difference between local and global dependence is described. The copula (a global dependence measure) as well as a new local dependence measure are mentioned.

Keywords:   autocorrelation, spectrum, conditional mean, conditional variance, local and global dependence

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