Modelling nonlinear economic relationships

書誌事項

Modelling nonlinear economic relationships

Clive W.J. Granger and Timo Teräsvirta

Oxford University Press, 1993

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyze relationships between different variables over time, such as the relationship between variables in a macroeconomy. Examples from Professor Terasvirta's empirical work are given. The authors 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 should be of use to econometricians wishing to construct and use models of nonlinear, dynamic, multivariate relationships, such as 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 are stochastic. It also discusses the division of these nonlinear relationships into parametric and nonparametric models.

目次

  • Basic concepts
  • general models and tools for analysis
  • nonlinear models in economic theory
  • particular nonlinear multivariate models
  • long memory models
  • linearity testing
  • building nonlinear models
  • forecasting, aggression and non-symmetry
  • applications
  • strategies for nonlinear modelling.

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詳細情報

  • NII書誌ID(NCID)
    BA21282640
  • ISBN
    • 0198773196
  • 出版国コード
    uk
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Oxford
  • ページ数/冊数
    x, 187 p.
  • 大きさ
    24 cm
  • 分類
  • 件名
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