Modelling Nonlinear Economic Time Series

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1、ModellingnonlineareconomictimeseriesTimoTeräsvirta,DagTjøstheimandCliveW.J.Granger10April2008iiContentsContentsiii1Concepts,modelsandde…nitions11.1De…ningnonlinearity.......................11.2Wheredoesnonlinearitycomefrom?..............21.3Stationarityandnonstation

2、arity................31.4Invertibility............................61.5Trends...............................81.6Seasonality............................101.7Conditionaldistributions.....................111.8Wold’srepresentationandVolterraexpansion.........121.9Additiv

3、emodels..........................131.10Spectralanalysis.........................141.11Chaos...............................152Nonlinearmodelsineconomictheory172.1Disequilibriummodels......................172.2Labourmarketmodels......................192.2.1Theory.....

4、......................192.2.2Practice..........................222.3Exchangeratesinatargetzone.................232.3.1Theory...........................232.3.2Practice..........................252.4Productiontheory.........................273Parametricnonlinearmodels

5、313.1Generalconsiderations......................313.2Switchingregressionmodels...................353.2.1Standardswitchingregressionmodel..........353.2.2Vectorthresholdautoregressivemodel..........373.3Markov-switchingregressionmodels..............39iiiivCONTENTS3.4

6、Smoothtransitionregressionmodels...............413.4.1Standardsmoothtransitionmodel............413.4.2Additive,multipleandtime-varyingSTRmodels...433.4.3Vectorsmoothtransitionautoregressivemodel.....443.5Polynomialmodels........................453.6Arti…cialneuralne

7、tworkmodels.................463.7Min-maxmodels.........................493.8Nonlinearmovingaveragemodels................503.9Bilinearmodels..........................513.10Time-varyingparametersandstatespacemodels.......523.11Randomcoe¢cientandvolatilitymodels.......

8、.....544Thenonparametricapproach574.1Introduction............................574.2Autocovarianceandspectrum..................584.3Density,