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Nonlinear Econometric Modeling in Time Series
William A. Barnett
其他書名
Proceedings of the Eleventh International Symposium in Economic Theory
出版Cambridge University Press, 2000-05-22
主題Business & Economics / EconometricsBusiness & Economics / Economics / GeneralMathematics / Probability & Statistics / Time Series
ISBN05215942439780521594240
URLhttp://books.google.com.hk/books?id=abYz2FsXSa8C&hl=&source=gbs_api
EBookSAMPLE
註釋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.