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Fortgeschrittene Texte in Ökonometrie Reihe

Diese Reihe befasst sich eingehend mit den hochentwickelten Methoden und Theorien der Ökonometrie. Sie behandelt fortgeschrittene statistische Techniken und deren praktische Anwendungen in der Wirtschaftsforschung. Konzipiert für Akademiker und Fachleute, bietet sie eine rigorose Grundlage für das Verständnis komplexer Wirtschaftsmodelle. Leser werden fundierte Kenntnisse erwerben, die für die quantitative Analyse in der Ökonomie unerlässlich sind.

Stochastic Limit Theory
Modelling Nonlinear Economic Relationships

Empfohlene Lesereihenfolge

  • Modelling Nonlinear Economic Relationships

    • 187 Seiten
    • 7 Lesestunden
    4,0(1)Abgeben

    This book explores recent theoretical and practical developments in the econometric modelling of relationships between economic time series. The techniques discussed are concerned with the nonlinear relationship between stochastic variables, such as those encountered in parts of macroeconomics, such as investment or a production functions. Examples of empirical work are given, including some produced by Professor Terasvirta. Professors Granger and Terasvirta 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 economatricians wishing to construct and use models of nonlinear, dynamic, multivariate relationships. 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. Questions of estimation, testing and evaluation of such models are considered carefully. The types of models discussed include parametric and non-parametric, for example neural networks and projection pursuit, and particular attention is paid to smooth regime-switching models. --back cover

    Modelling Nonlinear Economic Relationships

  • Stochastic Limit Theory

    4,0(1)Abgeben

    Econometricians, while using mathematical theory such as probability and limit theory at a demanding level, often do not have the advantage of a strong mathematical training. Using maths texts requires econometricians to ignore much material, and decipher unfamiliar notation, before reaching results useful and comprehensible to them. James Davidson has succeeded in clearly and rigorously explaining this mathematics to the ecconometricians who are increasingly using it. This book will serve as a technically self-contained handbook for advanced graduate students of econometrics, doctoral students, and academic or business econometricians who wish to improve their command of the mathematical processes they use.A wide-ranging coverage of mathematics combines the latest work with a lucid exposition of basic theories. The text covers statistical methods including probability theory, stochastic processes and their dependence structure, central limit theorems, and asymptotic distribution theory. It provides results directly relevant to econometricins, and indicates further reading. Davidson has included new material and results in central limit theorems from his research. Thus the book will appeal both as a survey and a research monograph.--back cover

    Stochastic Limit Theory