Modelling Nonlinear Economic Time Series

Paperback | January 16, 2011

byTimo Terasvirta, Dag Tjostheim, Clive W. J. Granger

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This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book containsexamples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification,estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear modelsand another on estimating nonparametric ones. Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus ofthe book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models. As a whole, the book is an indispensable tool for researchersinterested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

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This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book containsexamples of nonlinear models in economic th...

Timo Terasvirta received his DPolSc (Econometrics) from the University of Helsinki in 1970. He has been Senior Research Fellow of the Academy of Finland (1972-76), Professor of Statistics at the University of Helsinki (1976-80), Visiting Scholar at CORE, Louvain-la-Neuve, (1978-79), Research Fellow at the Research Institute of the Finn...

other books by Timo Terasvirta

Format:PaperbackDimensions:592 pages, 9.21 × 6.14 × 1.16 inPublished:January 16, 2011Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199587159

ISBN - 13:9780199587155

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Table of Contents

1. Concepts, models and definitions2. Nonlinear models in economic theory3. Parametric nonlinear models4. The nonparametric approach5. Parametric linearity tests6. Testing parameter constancy7. Nonparametric specification tests8. Conditional heteroskedasticity9. State space models10. Nonparametric models11. Nonlinear and nonstationary models12. Estimating parametric models13. Basic nonparametric estimates14. Forecasting from nonlinear models15. Nonlinear impulse responses16. Building nonlinear models17. Other topics