Modelling Non-Linear Economic Relationships

Autor: Timo Terasvirta, C. W. J. Granger

Jazyk:

Väzba: Brožovaná

Vydavateľ: Oxford University Press

Dostupnosť: Skladom u dodávateľa

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This volume explains recent theoretical developments in the econometric modelling of relationships b...

Informácie o knihe

Autor

Timo Terasvirta, C. W. J. Granger

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

1993

Stránok

198

EAN

9780198773207

ISBN

019877320X

Enbook ID

04528693

Vydavateľ

Oxford University Press

Hmotnosť

296

Rozmery

155 x 233 x 11

Kompletný popis

This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Examples from Professor Terasvirta's empirical work are given. Professors Granger and Terasvirta are leading exponents of techniques of dynamic, multivariate analysis. They illustrate in this volume exploratory ways of using such techniques to provide models of nonlinear relationships between variables. This is an extension of previous work on linear relationships, and on univariate models. These developments will be of use to econometricians wishing to construct and use models of nonlinear, dynamic, multivariate relationships, such as an investment function, or a production function. Particular attention is paid to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. The book concentrates on stochastic series, since the existence of unexpected shocks strongly suggests that economic variables are stochastic. Granger and Terasvirta also discuss the division of these nonlinear relationships into parametric and nonparametric models.

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