Modelling Non-Linear Time Series ATE

by Clive W.J. Granger, Dag Tj, Timo Terasvirta

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 contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these...

• Format: Hardcover
• Language: English
• ISBN: 0199587140
• ISBN13: 9780199587148
• Release Date: February 2011
• Publisher: Oxford University Press
• Length: 586 Pages
• Weight: 1.49 lbs.
• Dimensions: 1.1" x 6.2" x 9.3"