Modelling Non-Linear Economic Relationships: Modelling Nonlinear Economic R

Paperback | February 1, 1995

byClive W. J. Granger, Timo Terasvirta

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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 amacroeconomy. 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 linearrelationships, 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 arestochastic. Granger and Terasvirta also discuss the division of these nonlinear relationships into parametric and nonparametric models.

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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 amacroeconomy. Examples from Professor Terasvirta's emp...

Clive W. J. Granger is at Centre for Econometric Analysis, California. Timo Terasvirta is at Research Institute of the Finnish Economy.
Format:PaperbackDimensions:198 pages, 9.21 × 6.14 × 0.47 inPublished:February 1, 1995Publisher:Oxford University Press

The following ISBNs are associated with this title:

ISBN - 10:019877320X

ISBN - 13:9780198773207

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`For a reader with a basic knowledge of time series analysis concepts, this book offers an excellent opportunity to catch up on the explosive developments in modeling nonlinear times series ... It is very readable ... An intermediate-to-advanced level of knowledge can be gained by reading thebook in its entirety. This would be an ideal resource for a special topics graduate level seminar. For those with great interest in specific topics, there is an extensive reference section ... it is a wise addition to the practicing time-series analyst's reference shelf, whether to dabble or todelve extensively into modeling nonlinear time series.'Journal of American Statistical Association