Nonlinear econometric modeling in time series: proceedings of the eleventh international symposium in economic theory/
edited by William A. Barnett
- Cambridge: Cambridge University Press, 2000.
- xii, 227 p. : ill. ; 24 cm.
- (International symposia in economic theory and econometrics) .
Introduction and overview / William A. Barnett [and others] -- Time series cointegration tests and non-linearity / William A. Barnett, Barry E. Jones, and Travis D. Nesmith -- Risk-related asymmetries in foreign exchange markets / Giampiero M. Gallo and Barbara Pacini -- Nonlinearity, structural breaks or outliers in economic time series? / Gary Koop and Simon Potter -- Bayesian analysis of nonlinear time series models with a threshold / Michel Lubrano -- Nonlinear time series models : Consistency and asymptotic mormality of NLS under new conditions / Santiago Mira and Alvaro Escribano -- Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes / Pentti Saikkonen and Helmut Lukepohl -- Nonlinear error-correction models for interest rates in the Netherlands / Dick van Dijk and Philip Hans Franses.