A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence (Dynamic Modeling and Econometrics in Econom

A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence (Dynamic Modeling and Econometrics in Econom

ISBN: 9781846280054
Publisher: Springer
Edition: 2000
Publication Date: 1999-10-01
Number of pages: 201
  • $36.55
  • Save $-36.55

Any used item that originally included an accessory such as an access code, one time use worksheet, cd or dvd, or other one time use accessories may not be guaranteed to be included or valid. By purchasing this item you acknowledge the above statement.

DESCRIPTION

The complex dynamic behavior exhibited by many nonlinear systems - chaos, episodic volatility bursts, stochastic regimes switching - has attracted a good deal of attention in recent years. A Nonlinear Time Series Workshop provides the reader with both the statistical background and the software tools necessary for detecting nonlinear behavior in time series data. The most useful existing detection techniques are described, including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum. These techniques are illustrated using actual data from fields such as economics, finance, engineering, and geophysics.

Customer Reviews


We Also Recommend