Modelling Non-Linear Economic Relationships

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

Język:

Oprawa: Miękka

Wydawca: Oxford University Press

Dostępność: Dostępna u dostawcy

Wysyłamy za 9-15 dni

355.30 zł

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

Informacje o książce

Autor

Timo Terasvirta, C. W. J. Granger

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

1993

strony

198

EAN

9780198773207

ISBN

019877320X

Enbook ID

04528693

Wydawca

Oxford University Press

Waga

296

Wymiary

155 x 233 x 11

Pełny opis

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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