Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics)

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9780198773207: Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics)
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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 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


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9780198773191: Modelling Nonlinear Economic Relationships (Advanced Texts in Econometrics)

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ISBN 10:  0198773196 ISBN 13:  9780198773191
Publisher: Oxford University Press, 1993
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Book Description Oxford University Press, United Kingdom, 1993. Paperback. Condition: New. Language: English. Brand new Book. 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 aninvestment 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. Seller Inventory # AAV9780198773207

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Book Description Oxford University Press, United Kingdom, 1993. Paperback. Condition: New. Language: English. Brand new Book. 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 aninvestment 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. Seller Inventory # LIE9780198773207

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