Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics) - Softcover
Book 5 of 26: Advanced Texts in Econometrics
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 Teräsvirta 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 the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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About the Author
Clive W. J. Granger is at Centre for Econometric Analysis, California. Timo Teräsvirta is at Research Institute of the Finnish Economy.
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Modelling Nonlinear Economic Relationships
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Oxford University Press, 1993
ISBN 10: 019877320X
ISBN 13: 9780198773207
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Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics)
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ISBN 10: 019877320X
ISBN 13: 9780198773207
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MODELLING NONLINEAR ECONOMIC RELATIONSHIPS (ADVANCED TEXTS IN ECONOMETRICS)
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Oxford University Press, Oxford, 1996
ISBN 10: 019877320X
ISBN 13: 9780198773207
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Modelling Non-Linear Economic Relationships (eng)
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Modelling Nonlinear Economic Relationships
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ISBN 13: 9780198773207
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Modelling Non-Linear Economic Relationships (Paperback)
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ISBN 10: 019877320X
ISBN 13: 9780198773207
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Paperback. Condition: new. Paperback. 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 Teraesvirta's empirical work are given. Professors Granger and Teraesvirta are leading exponents of techniques ofdynamic, 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 onlinear 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 existenceof unexpected shocks strongly suggests that economic variables are stochastic. Granger and Teraesvirta also discuss the division of these nonlinear relationships into parametric and nonparametricmodels. The series Advanced Texts in Econometrics allows leading econometricians to summarize the theretical areas in which they have made a contribution. This volume surveys and summarizes new work linking theoretical developments in nonlinear analysis to current models of the economy. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780198773207