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

This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.

William A. Barnett (Edited by), David F. Hendry (Edited by), Svend Hylleberg (Edited by), Timo Teräsvirta (Edited by), Dag Tjøstheim (Edited by), Allan Würtz (Edited by)

9780521028684, Cambridge University Press

Paperback / softback, published 2 November 2006

240 pages, 16 b/w illus. 27 tables
22.9 x 15.1 x 1.4 cm, 0.377 kg

'It seems clear that empirical econometric models based on time series data will be, if anything, nonlinear in nature. This book contains high level contributions to the theory and the application of nonlinear time series models. Its chapters reflect the diversity of topics and approaches in a field that is fundamentally relevant for both macroeconomics and econometrics.' Luc Bauwens, CORE, Université catholique de Louvain, Belgium

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.

Series editor's preface
Contributors
1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz
2. Time series cointegration tests 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 or 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.

Subject Areas: Econometrics [KCH]