Nonlinear Econometric Modeling in Time Series - Proceedings of the Eleventh International Symposium in Economic Theory

Klappentext Presents some of the more recent developments in nonlinear time series! including Bayesian analysis and cointegration tests. Zusammenfassung This book presents some of the more recent developments in nonlinear time series! including Bayesian analysis and cointegration tests. Inhaltsverzeichnis Series editor's preface; Contributors; 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz; 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith; 3. Risk-related asymmetries in foreign exchange markets Giampiero 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 threshold Michael Lubrano; 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano; 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lütkepohl; 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.

Détails du produit

• Auteurs: William A. Barnett, William A. Hendry Barnett
• Collaboration: William A. Barnett (Editeur), David F. Hendry (Editeur), Svend Hylleberg (Editeur)
• Edition: Cambridge University Press ELT
• Langues: Anglais
• Format d'édition: Livre de poche
• Sortie: 02.11.2006
• EAN: 9780521028684
• ISBN: 978-0-521-02868-4
• Pages: 240
• Thème: International Symposia in Econ
• Catégorie: Sciences sociales, droit, économie > Economie > Autres