Modelling Nonlinear Economic Time Series
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Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84)
Recommendations
- Nonlinear time series analysis of economic and financial data
- Modeling of economic time series
- Multivariate modelling of non-stationary economic time series
- Predicting economic time series using a nonlinear deterministic technique
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Cited in
(93)- A unit root test against globally stationary ESTAR models when local condition is non-stationary
- Forecasting in nonlinear univariate time series using penalized splines
- Asymptotic theory for regressions with smoothly changing parameters
- Chaotic dynamics of a piecewise linear model of credit cycles
- Self-exciting jump processes with applications to energy markets
- Nonlinear time series. Nonparametric and parametric methods
- Nonlinear Poisson autoregression
- Some recent theory for autoregressive count time series
- A goodness-of-fit test for Poisson count processes
- A model-free consistent test for structural change in regression possibly with endogeneity
- Linearity tests and stochastic trend under the STAR framework
- Statistical dependence: beyond Pearson's
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data
- Dynamic tail inference with log-Laplace volatility
- Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
- On testing for nonlinearity in multivariate time series
- Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models
- Semiparametric estimation in triangular system equations with nonstationarity
- Summability of stochastic processes -- a generalization of integration for non-linear processes
- Testing stationarity of functional time series
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- The fiscal state-dependent effects of capital income tax cuts
- Testing for co-nonlinearity
- Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
- Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
- Nonlinear interest rate-setting behaviour of German commercial banks
- Threshold vector ARMA models
- Prediction of macro-economic time series. A comparison of linear models and neural nets
- Econometric modelling with time series. Specification, estimation and testing
- Quasi-likelihood inference for negative binomial time series models
- Transformed polynomials for nonlinear autoregressive models of the conditional mean
- Local Gaussian Autocorrelation and Tests for Serial Independence
- Sir Clive W. J. Granger memorial special issue on econometrics: an introduction
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- Heterogeneity in stock prices: a STAR model with multivariate transition function
- scientific article; zbMATH DE number 5002322 (Why is no real title available?)
- scientific article; zbMATH DE number 1260463 (Why is no real title available?)
- On weak dependence conditions for Poisson autoregressions
- Test for linearity against STAR models with deterministic trends
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- scientific article; zbMATH DE number 1557178 (Why is no real title available?)
- On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability
- Threshold structures in economic and financial time series
- Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model
- scientific article; zbMATH DE number 1825545 (Why is no real title available?)
- Nonlinear Econometric Models with Deterministically Trending Variables
- A flexible semiparametric forecasting model for time series
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Nonparametric estimation of probability density functions for irregularly observed spatial data
- Elements of nonlinear time series analysis and forecasting
- Multivariate modelling of non-stationary economic time series
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Estimation in threshold autoregressive models with a stationary and a unit root regime
- scientific article; zbMATH DE number 6193734 (Why is no real title available?)
- Modelling nonlinearities in equity returns: the mean impact curve analysis
- Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
- Portmanteau tests for linearity of stationary time series
- Nonlinear autoregressive models with optimality properties
- Some notes on nonlinear cointegration: a partial review with some novel perspectives
- Specification and testing of multiplicative time-varying GARCH models with applications
- Forecasting macroeconomic variables using neural network models and three automated model selection techniques
- Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
- Nonlinear Spectral Analysis: A Local Gaussian Approach
- Estimation for single-index and partially linear single-index integrated models
- UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION
- Smooth transition simultaneous equation models
- Quadratic prediction of time series via auto-cumulants
- Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model
- On Semiparametrically Dynamic Functional-Coefficient Autoregressive Spatio-Temporal Models with Irregular Location Wide Nonstationarity
- Weighted nonlinear regression with nonstationary time series
- A generalized Burr mixture autoregressive models for modeling non linear time series
- Dealing With Endogeneity in Threshold Models Using Copulas
- Threshold Regression With a Threshold Boundary
- The Locally Gaussian Partial Correlation
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
- Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
- Estimating and Testing Nonlinear Local Dependence Between Two Time Series
- Tractable Bayesian estimation of smooth transition vector autoregressive models
- Regime-specific exchange rate predictability
- Another Look at Dependence: The Most Predictable Aspects of Time Series
- Modelling dynamic interdependence in nonstationary variances with an application to carbon markets
- A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Gaussian mixture vector autoregression
- Structural vector autoregressions with smooth transition in variances
- Threshold models in time series analysis -- some reflections
- Testing Linearity for Network Autoregressive Models
- Extracting knowledge from time series. An introduction to nonlinear empirical modeling
- Non-stationary structural model with time-varying demand elasticities
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