Essays in Nonlinear Time Series Econometrics

Essays in Nonlinear Time Series Econometrics

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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.This research was supported by a grant from the Sloan Foundation to the Volatility Institute of NYUa#39;s Stern School of ... the first example of this model is in Bollerslev, Engle, and Wooldridge (1988) where a univariate application is developed.

Title:Essays in Nonlinear Time Series Econometrics
Author: Niels Haldrup, Mika Meitz, Pentti Saikkonen
Publisher:Oxford University Press - 2014-05

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