Buch, Englisch, 198 Seiten, Paperback, Format (B × H): 156 mm x 234 mm, Gewicht: 313 g
Buch, Englisch, 198 Seiten, Paperback, Format (B × H): 156 mm x 234 mm, Gewicht: 313 g
Reihe: Advanced Texts in Econometrics
ISBN: 978-0-19-877320-7
Verlag: OUP Oxford
Professors Granger and Teräsvirta 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 will be of use to econometricians wishing to construct and use models of nonlinear, dynamic, multivariate relationships, such as an 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. Granger and Teräsvirta also discuss the division of these nonlinear relationships into parametric and nonparametric models.