Modelling Nonlinear Economic Relationships

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ID: 292239
1993
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Abstract
Abstract This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Examples from Professor Teräsvirta's empirical work are given. Professors Granger and Teräsvirta are leading exponents of techniques of dynamic, multivariate analysis. They illustrate in this volume exploratory ways of using such techniques to provide models of nonlinear relationships between variables. This is an extension of previous work on linear relationships, and on univariate models. These developments will be of use to econometricians wishing to construct and use models of nonlinear, dynamic, multivariate relationships, such as an investment function, or a production function. Particular attention is paid to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. The book concentrates on stochastic series, since the existence of unexpected shocks strongly suggests that economic variables are stochastic. Granger and Teräsvirta also discuss the division of these nonlinear relationships into parametric and nonparametric models.
Reference Key
openalex_W2036787087 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Clive W. J. Granger, Timo Teräsvirta
Journal Oxford University Press eBooks
Year 1993
DOI
10.1093/oso/9780198773191.001.0001
URL
https://doi.org/10.1093/oso/9780198773191.001.0001
Keywords Keywords not found

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