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Concepts and tools for nonlinear time series modelling

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Author Info
Amendola, Alessandra
Francq, Christian

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Abstract

Tools and approaches are provided for nonlinear time series modelling in econometrics. A wide range of topics is covered, including probabilistic properties, statistical inference and computational methods. The focus is on the applications but the ideas of the mathematical arguments are also provided. Techniques and concepts are illustrated by various examples, Monte Carlo experiments and a real application.

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File URL: http://mpra.ub.uni-muenchen.de/15140/
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File URL: http://mpra.ub.uni-muenchen.de/16668/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15140.

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Date of creation: 2009
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Handle: RePEc:pra:mprapa:15140

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Related research
Keywords: Consistency and asymptotic normality; MCMC algorithms; Mixing; Nonlinear modelling; Stationarity; Time-series forecasting.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-12-4.

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