Title:
Nonlinear econometric modeling in time series analysis : proceedings of the 11th International Symposium in Economic Theory and Econometrics
Series:
International symposia in economic theory and econometrics
Publication Information:
New York : Cambridge University Press, 2000
Physical Description:
xii, 227 p. : ill. ; 24 cm.
ISBN:
9780521028684
Added Author:
Available:*
Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010225874 | HB139 I574 2000 | Open Access Book | Proceedings, Conference, Workshop etc. | Searching... |
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Summary
Summary
Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on 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.
Table of Contents
| Series editor's preface |
| Contributors |
| 1 Introduction and overviewWilliam A. Barnett and David F. Hendry and Svend Hylleberg and Timo TerSsvirta and Dag Tj°stheim and Allan Wnrtz |
| 2 Time series cointegration tests and non-linearityWilliam A. Barnett and Barry E. Jones and Travis D. Nesmith |
| 3 Risk-related asymmetries in foreign exchange marketsGiampiero M. Gallo and Barbara Pacini |
| 4 Nonlinearity, structural breaks or outliers in economic time series?Gary Koop and Simon Potter |
| 5 Bayesian analysis of nonlinear time series models with a thresholdMichael Lubrano |
| 6 Nonlinear time series models: consistency and asymptotic normality of NLS under new conditionsSantiago Miro and Alvaro Escribano |
| 7 Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processesPentti Saikkonen and Helmut Lntkepohl |
| 8 Nonlinear error-correction models for interest rates in the NetherlandsDick van Dijk and Philip Hans Franses |
