Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance
Springer-Verlag New York Inc.
978-1-4419-5276-9 (ISBN)
1. Introduction.- 1 Combining the hypotheses of nonstationarity and nonlinearity.- 2 A brief review of some nonlinear models.- 3 Unit root and stationarity tests.- 2. Are the Unit-Root Tests Adequate for Nonlinear Models?.- 1 Introduction.- 2 Examples of nonlinear models with unit roots and longmemory.- 3 Monte Carlo experiments: applying the classical tests to nonlinear models.- 4 Extensions of traditional unit root tests based on ADF regressions.- 5 Nonlinear stochastic and deterministic trends.- 6 Data analysis on macroeconomic and financial variables.- 3. Nonlinear Measures of Persistence in Time Series.- 1 Introduction.- 2 Short memory and extended memory variables.- 3 Mixing conditions.- 4 kth-order dependence in time series.- 5 Correlation and entropy measures.- 4. Nonlinear Equilibration, Cointegration and NEC Models.- 1 Introduction.- 2 Nonlinear equilibration.- 3 Nonlinear cointegration.- 4 Nonlinear co-trending between a set of variables.- 5. Asymmetric and Threshold Nonlinear Error-Correction Models.- 1 Introduction.- 2 Asymmetries in partial adjustment models.- 3 Threshold autoregressive NEC models.- References.
Zusatzinfo | XXVIII, 300 p. |
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Verlagsort | New York, NY |
Sprache | englisch |
Maße | 155 x 235 mm |
Themenwelt | Wirtschaft ► Allgemeines / Lexika |
Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie | |
Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
ISBN-10 | 1-4419-5276-4 / 1441952764 |
ISBN-13 | 978-1-4419-5276-9 / 9781441952769 |
Zustand | Neuware |
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