Nonlinear Econometric Modeling in Time Series (Paperback)
Language: English
Published by Cambridge University Press, Cambridge, 2006
- First Edition
- Softcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
Condition: New
£ 58.99
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Paperback. Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2. This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.
Seller Inventory # 9780521028684
- Title
- Nonlinear Econometric Modeling in Time Series (Paperback)
- Author
- William A. Barnett
- Publisher
- Cambridge University Press, Cambridge
- Publication year
- 2006
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 052102868X
- ISBN 13
- 9780521028684
- Edition
- 1st Edition
"Synopsis" may belong to another edition of this title.
Review
'The discovery of nonlinear dynamical behaviour in economic and financial time series is the most exciting development in applied econometrics over the past decade. Attention has now moved to the difficult task of identifying the forms of the processes generating these complicated dynamics. The papers contained in Nonlinear Econometric Modeling in Times Series exemplify the surrent state-of-the-art of work in this important area.' Douglas M. Patterson, Virginia Polytechnic institute and State University
'Modern economic processes are often nonlinear, in particular, in international and financial markets. The book by Barnett et al. contains new and challenging studies on modelling and estimating this nonlinearity. It is highly recommended material.' Herman van Dijk, Econometric Institute Rotterdam, The Netherlands
'It seems clear that empirical econometric models based on time series data will be, if anything, nonlinear in nature. This book contains high level contributions to the theory and the application of nonlinear time series models. Its chapters reflect the diversity of topics and approaches in a field that is fundamentally relevant for both macroeconomics and econometrics.' Luc Bauwens, CORE, Université catholique de Louvain, Belgium
"About the title" may belong to another edition of this title.
CitiRetail
Stevenage, United Kingdom
AbeBooks seller since June 29, 2022
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