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Nonlinear Econometric Modeling in Time Series

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

in Cambridge Books from Cambridge University Press

Abstract: 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.

Date: 2000
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