Modelling nonlinear economic time series

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic ...

The cointegrated VAR model

methodology and applications

This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of ...

The econometrics of macroeconomic modelling

Macroeconometric models, in many ways the flagships of the economist's profession in the 1960s, came under increasing attack from both theoretical economist and practitioners in the late 1970s. Critics referred to their lack of microeconomic theoretical foundations, ad hoc models of expectations, lack of ...

Micro-econometrics for policy, program, and treatment effects

Periodic time series models

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to- date survey of the recent developments in periodic time series, the book presents a large number ...

Finite sample econometrics

ÍNDICE: 1.Introduction 2.Finite Sample Moments 3.Finite Sample Distributions 4.Regression Model 5.Models with Nonscalar Covariance Matrix of Errors 6.Dynamic Time Series Model 7.Simultaneous Equations Model

Time series with long memory

This volume provides in a convenient format for students and researchers the core papers in long memory time series analysis. Long memory time series are characterized by a strong dependence between distant events. Various methods and their theoretical properties are discussed, with empirical applications. The ...