Modelling Non-Linear Economic Relationships

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

Език:

Корици: С меки корици

Издател: Oxford University Press

Наличност: Външен склад

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

Информация за книгата

Автор

Timo Terasvirta, C. W. J. Granger

Език

Английски език

Корици

Книга - С меки корици

Издадена

1993

страници

198

EAN

9780198773207

ISBN

019877320X

Enbook ID

04528693

Издател

Oxford University Press

Теглоt

296

Размери

155 x 233 x 11

Пълно описание

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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Modelling Non-Linear Economic Relationships

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