Essays In Nonlinear Time Series Econometrics
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Essays In Nonlinear Time Series Econometrics
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Author : Niels Haldrup
language : en
Publisher: Oxford University Press, USA
Release Date : 2014-05
Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05 with Business & Economics categories.
A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Essays In Nonlinear Time Series Econometrics
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Author : Niels Haldrup
language : en
Publisher:
Release Date : 2014
Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Econometrics categories.
This is a book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Elements Of Nonlinear Time Series Analysis And Forecasting
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Author : Jan G. De Gooijer
language : en
Publisher: Springer
Release Date : 2017-03-30
Elements Of Nonlinear Time Series Analysis And Forecasting written by Jan G. De Gooijer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-30 with Mathematics categories.
This book provides an overview of the current state-of-the-art of nonlinear time series analysis, richly illustrated with examples, pseudocode algorithms and real-world applications. Avoiding a “theorem-proof” format, it shows concrete applications on a variety of empirical time series. The book can be used in graduate courses in nonlinear time series and at the same time also includes interesting material for more advanced readers. Though it is largely self-contained, readers require an understanding of basic linear time series concepts, Markov chains and Monte Carlo simulation methods. The book covers time-domain and frequency-domain methods for the analysis of both univariate and multivariate (vector) time series. It makes a clear distinction between parametric models on the one hand, and semi- and nonparametric models/methods on the other. This offers the reader the option of concentrating exclusively on one of these nonlinear time series analysis methods. To make the book as user friendly as possible, major supporting concepts and specialized tables are appended at the end of every chapter. In addition, each chapter concludes with a set of key terms and concepts, as well as a summary of the main findings. Lastly, the book offers numerous theoretical and empirical exercises, with answers provided by the author in an extensive solutions manual.
Essays In Honor Of Peter C B Phillips
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Author : Thomas B. Fomby
language : en
Publisher: Emerald Group Publishing
Release Date : 2014-11-21
Essays In Honor Of Peter C B Phillips written by Thomas B. Fomby and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-21 with Political Science categories.
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Essays In Econometrics
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Author : Clive W. J. Granger
language : en
Publisher: Cambridge University Press
Release Date : 2001-07-23
Essays In Econometrics written by Clive W. J. Granger and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-07-23 with Business & Economics categories.
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Recent Advances In Estimating Nonlinear Models
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Author : Jun Ma
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-09-24
Recent Advances In Estimating Nonlinear Models written by Jun Ma and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-24 with Business & Economics categories.
Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Linear Models And Time Series Analysis
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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-12-17
Linear Models And Time Series Analysis written by Marc S. Paolella and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-17 with Mathematics categories.
A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Statistical Modeling Using Local Gaussian Approximation
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Author : Dag Tjøstheim
language : en
Publisher: Academic Press
Release Date : 2021-10-05
Statistical Modeling Using Local Gaussian Approximation written by Dag Tjøstheim and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-05 with Business & Economics categories.
Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. - Reviews local dependence modeling with applications to time series and finance markets - Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics - Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences - Integrates textual content with three useful R packages
Macroeconomic Forecasting In The Era Of Big Data
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Author : Peter Fuleky
language : en
Publisher: Springer Nature
Release Date : 2019-11-28
Macroeconomic Forecasting In The Era Of Big Data written by Peter Fuleky and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-28 with Business & Economics categories.
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Three Essays On Nonlinear Time Series Econometrics
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Author : Charles Shaw
language : en
Publisher:
Release Date : 2019
Three Essays On Nonlinear Time Series Econometrics written by Charles Shaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
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