Modelling Nonlinear Economic Time Series (Advanced Texts in Econometrics)

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9780199587155: Modelling Nonlinear Economic Time Series (Advanced Texts in Econometrics)

Book by Terasvirta Timo Tjostheim Dag Granger Clive W J

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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 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 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 models and 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 of the 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 researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.

Reseña del editor:

A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses their practical use, encouraging the reader to apply nonlinear models to their practical modelling problems.

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Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger
Editorial: Oxford University Press, United Kingdom (2011)
ISBN 10: 0199587159 ISBN 13: 9780199587155
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Descripción Oxford University Press, United Kingdom, 2011. Paperback. Estado de conservación: New. 232 x 154 mm. Language: English . Brand New Book ***** Print on Demand *****.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 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 models and 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 of the 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 researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis. Nº de ref. de la librería AAV9780199587155

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Terasvirta, Timo/ Tjostheim, Dag/ Granger, Clive W. J.
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Descripción Oxford Univ Pr on Demand, 2011. PAP. Estado de conservación: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Nº de ref. de la librería VU-9780199587155

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Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger
Editorial: Oxford University Press, United Kingdom (2011)
ISBN 10: 0199587159 ISBN 13: 9780199587155
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Descripción Oxford University Press, United Kingdom, 2011. Paperback. Estado de conservación: New. 232 x 154 mm. Language: English . Brand New Book ***** Print on Demand *****. 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 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 models and 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 of the 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 researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis. Nº de ref. de la librería AAV9780199587155

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Descripción OUP Oxford, 2016. Paperback. Estado de conservación: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Nº de ref. de la librería ria9780199587155_lsuk

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Descripción OUP Oxford, 2010. PAP. Estado de conservación: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería IQ-9780199587155

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Terasvirta, Timo; Tjostheim, Dag; Granger, Clive W. J.
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Terasvirta, Timo; Tjostheim, Dag; Granger, Clive W. J.
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Timo Terasvirta, Dag Tjostheim, Clive W. J. Granger
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