Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory (Paperback)

William A. Barnett

ISBN 10: 052102868X / ISBN 13: 9780521028684

Published by Cambridge University Press, Cambridge, 2006

About this Item

Paperback. Nonlinear Econometric Modeling in Time Series presents the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference and error-correction models. With a world-class panel of contributors, this volume addresses topics with major applications for fields such as foreign-exchange markets and interest rate analysis. Eleventh in this series of international symposia, this volume is also part of the European Conference Series in Quantitative Economics and Econometrics (EC)2. Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780521028684

Bibliographic Details

• Title: Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2006
• Language: English
• ISBN 10: 052102868X
• ISBN 13: 9780521028684
• Binding: Paperback
• Edition: 1st Edition
• Condition: new

About this title

Synopsis

Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.

Book Description

Nonlinear Econometric Modeling in Time Series presents some recent developments in this area of research. While many of the prior volumes in this series have included investigations on nonlinearity and complex dynamics in economic theory and in structural econometric modeling , this is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.