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ASPECTS OF MODELLING NONLINEAR TIME SERIES


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Title: ASPECTS OF MODELLING NONLINEAR TIME SERIES
Authors: Teräsvirta, Timo
Tjøstheim, Dag
Granger, Clive W J
Issue Date: 1-Jan-1992
Extent: 45
Publication type: report
Publisher: University of Gothenburg
Series/Report no.: Research Report
1992:1
Abstract: It is common practice for economic theories to postulate non-linear relationships between economic variables, production functions being an example. If a theory suggests a specific functional form, econometricians can propose estimation techniques for the parameters, and asymptotic results, about normality and consistency, under given conditions are known for these estimates, see e.g. Judge et. a1. (1985) and White (1984) and Gallant (1987, chapter 7). However, in many cases the theory does not ... more
ISSN: 0349-8034
URI: http://hdl.handle.net/2077/24616
Appears in Collections:Research Report

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