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

Granger, Clive W.J.; Teräsvirta, Timo

Hardcover

ISBN 10: 0198773196 ISBN 13: 9780198773191

Publisher: Oxford University Press, 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

About the Author

Clive W. J. Granger is at Centre for Econometric Analysis, California. Timo Terasvirta is at Research Institute of the Finnish Economy.

Review

"A good introductory text on this topic, and should be accessible to graduate students and professional economists, even those with just a basic background in econometrics and time series analysis."--The Southern Economic Journal

"A highly readable account of nonlinear time series....Will be extremely useful to researchers as well as students." --Sunil Sapra, Assoc. Professor of Economics and Statistics, California State University

"...provides a clear and useful review of the state of the art on nonlinear modelling in econometrics. "--Econometric Reviews

Edition details

• Publisher: Oxford University Press
• Publication date: 1993
• Language: English
• ISBN 10: 0198773196
• ISBN 13: 9780198773191
• Binding: Hardcover
• Number of pages: 198