Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics) - Softcover

Granger, Clive W. J.

Softcover

ISBN 10: 019877320X ISBN 13: 9780198773207

Publisher: Oxford University Press, USA, 1993

Synopsis

This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Terasvirta illustrate ways of using dynamic, multivariate analysis techniques to provide models of nonlinear relationships between variables. They pay particular attention to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. They also discuss the division of nonlinear relationships into parametric and nonparametric models. The developments detailed in this book will be useful to econometricians who need to construct or use models of nonlinear, dynamic, multivariate relationships, such as an investment or production function.

About this title

Product Description

This monograph explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The techniques explored analyze relationships between different variables over time, such as the relationship between variables in a macroeconomy.

Review

`Very good overview of tests of linearity.'D. Malliaropulos, London Guildhall University

`It is an excellent survey in a very important area.'Dr D. Basu, University of Kent

'provides the reader with a clear and thoughtfully structured guide to the fundamentals of nonlinear time series modelling and highlights the considerable potential of these modelling techniques for applied econometricians ... The authors should be congratulated on bringing this important class of models more fully into the mainstream realm.'S.J. Leybourne, The Economic Journal, Vol 105, No. 428, January 1995

For a reader with a basic knowledge of time series analysis concepts, this book offers an excellent opportunity to catch up on the explosive developments in modeling nonlinear times series ... It is very readable ... An intermediate-to-advanced level of knowledge can be gained by reading the book in its entirety. This would be an ideal resource for a special topics graduate level seminar. For those with great interest in specific topics, there is an extensive reference section ... it is a wise addition to the practicing time-series analyst's reference shelf, whether to dabble or to delve extensively into modeling nonlinear time series. (Journal of American Statistical Association)

Edition details

• Publisher: Oxford University Press, USA
• Publication date: 1993
• Language: English
• ISBN 10: 019877320X
• ISBN 13: 9780198773207
• Binding: Paperback
• Number of pages: 200