Nonlinear econometric modeling in time series : proceedings of the Eleventh International Symposium in Economic Theory
著者
書誌事項
Nonlinear econometric modeling in time series : proceedings of the Eleventh International Symposium in Economic Theory
（International symposia in economic theory and econometrics）
Cambridge University Press, 2000
- タイトル別名
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Nonlinear econometric modeling in time series analysis
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注記
A selection of 7 papers presented at the conference held at the University of Aarhus, Denmark, on December 14-15, 1995
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
- Series editor's preface
- Contributors
- 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Terasvirta, Dag Tjostheim and Allan Wurtz
- 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith
- 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini
- 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter
- 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano
- 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano
- 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lutkepohl
- 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.
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