Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory,9780521594240

Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory

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ISBN13: 9780521594240
ISBN10: 0521594243
Format: Hardcover
Pub. Date: 2000-05-22
Publisher(s): Cambridge University Press
List Price: $160.00

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Summary

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.

Table of Contents

Series editor's preface viii
Contributors xi
Introduction and overview
1(8)
William A. Barnett
David F. Hendry
Svend Hylleberg
Timo Terasvirta
Dag Tjostheim
Allan Wurtz
Time series cointegration tests and non-linearity
9(22)
William A. Barnett
Barry E. Jones
Travis D. Nesmith
Risk-related asymmetries in foreign exchange markets
31(30)
Giampiero M. Gallo
Barbara Pacini
Nonlinearity, structural breaks, or outliers in economic time series?
61(18)
Gary Koop
Simon Potter
Bayesian analysis of nonlinear time series models with a threshold
79(40)
Michel Lubrano
Nonlinear time series models: Consistency and asymptotic normality of NLS under new conditions
119(46)
Santiago Mira
Alvaro Escribano
Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes
165(38)
Pentti Saikkonen
Helmut Lutkepohl
Nonlinear error-correction models for interest rates in the Netherlands
203
Dick van Dijk
Philip Hans Franses

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