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Nonlinear Econometric Modeling in Time Series by William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim, Allan Würtz, (2006) Publisher: Cambridge University Press ISBN: 9780521028684 ISBN: 0-521-59424-3 |
Contents Table of Contents Book Order Form |
| Table of Contents Part I. Introduction 1. Nonlinear Econometric Modeling William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Terasvirta, Dag Tjøstheim and Allan Würtz Part II. Nonlinear Time Series Research 2. Time Series Cointegration Test and Non-Linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith 3. Risk-Related Asymmetries in Foreign Exchange Markets Giampiero M. Gallo and Barbara Pacini 4. Nonlinearity, Structural Breaks of Outliers in Economic Time Series? Gary Koop and Simon Potter 5. Bayesian Analysis of Nonlinear Time Series Models with a Threshold Michael Lubrano 6. Nonlinear Time Series Models: Consistency and Asymptotic Normality of NLS under new conditions Santiago Miro and Alvaro Escribano 7. Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegrated VAR Processes Pentti Saikkonen and Helmut Lütkepohl 8. Nonlinear Error-Correction Models for Interest Rates in the Netherlands Dick van Dijk and Philip Hans Franses |
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