Essays in Nonlinear Time Series Econometrics

Essays in Nonlinear Time Series Econometrics
Author: Niels Haldrup
Publisher: OUP Oxford
Total Pages: 393
Release: 2014-06-26
Genre: Business & Economics
ISBN: 0191669547

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Nonlinear Econometric Modeling in Time Series

Nonlinear Econometric Modeling in Time Series
Author: William A. Barnett
Publisher: Cambridge University Press
Total Pages: 248
Release: 2000-05-22
Genre: Business & Economics
ISBN: 9780521594240

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

Nonlinear Time Series Analysis

Nonlinear Time Series Analysis
Author: Ruey S. Tsay
Publisher: John Wiley & Sons
Total Pages: 516
Release: 2018-09-13
Genre: Mathematics
ISBN: 1119264065

A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.

Nonlinear Time Series Analysis of Economic and Financial Data

Nonlinear Time Series Analysis of Economic and Financial Data
Author: Philip Rothman
Publisher: Springer Science & Business Media
Total Pages: 379
Release: 2012-12-06
Genre: Business & Economics
ISBN: 1461551293

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Modern Linear and Nonlinear Econometrics

Modern Linear and Nonlinear Econometrics
Author: Joseph Plasmans
Publisher: Springer Science & Business Media
Total Pages: 412
Release: 2006-08-30
Genre: Business & Economics
ISBN: 9780387257600

The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are: -A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools. -Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others. -Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet. What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems.

Modelling our Changing World

Modelling our Changing World
Author: Jennifer L. Castle
Publisher: Springer Nature
Total Pages: 142
Release: 2019-08-30
Genre: Business & Economics
ISBN: 303021432X

This open access book focuses on the concepts, tools and techniques needed to successfully model ever-changing time-series data. It emphasizes the need for general models to account for the complexities of the modern world and how these can be applied to a range of issues facing Earth, from modelling volcanic eruptions, carbon dioxide emissions and global temperatures, to modelling unemployment rates, wage inflation and population growth. Except where otherwise noted, this book is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0.

Forecasting: principles and practice

Forecasting: principles and practice
Author: Rob J Hyndman
Publisher: OTexts
Total Pages: 380
Release: 2018-05-08
Genre: Business & Economics
ISBN: 0987507117

Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.

Nonlinear Time Series Analysis of Business Cycles

Nonlinear Time Series Analysis of Business Cycles
Author: C. Milas
Publisher: Emerald Group Publishing
Total Pages: 461
Release: 2006-02-08
Genre: Business & Economics
ISBN: 044451838X

This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?

Non-Linear Time Series Models in Empirical Finance

Non-Linear Time Series Models in Empirical Finance
Author: Philip Hans Franses
Publisher: Cambridge University Press
Total Pages: 299
Release: 2000-07-27
Genre: Business & Economics
ISBN: 0521770416

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

Complex Systems in Finance and Econometrics

Complex Systems in Finance and Econometrics
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
Total Pages: 919
Release: 2010-11-03
Genre: Business & Economics
ISBN: 1441977007

Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.