Concepts and tools for nonlinear time series modelling

Alessandra Amendola () and Christian Francq

MPRA Paper from University Library of Munich, Germany

Abstract: Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also provided. Techniques and concepts are illustrated by various examples, Monte Carlo experiments and a real application.

Keywords: Consistency and asymptotic normality; MCMC algorithms; Mixing; Nonlinear modelling; Stationarity; Time-series forecasting. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://mpra.ub.uni-muenchen.de/15140/2/MPRA_paper_15140.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/16668/1/MPRA_paper_16668.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15140

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