文档介绍：Chapter 48
ASPECTS OF MODELLING NONLINEAR TIME SERIES*
TIM0 TERASVIRTA
Copenhagen Business School and Bank of Norway
DAG ******@STHEIM
University ofBergen
CLIVE . GRANGER
University of California
Contents
Abstract 2919
1. Introduction 2919
2. Types of nonlinear models 2921
. Models from economic theory 2921
. Models from time series theory 2922
. Flexible statistical parametric models 2923
. State-dependent, time-varying parameter and long-memory models 2924
. Nonparametric models 2925
3. Testing linearity 2926
. Tests against a specific alternative 2921
. Tests without a specific alternative 2930
. Constancy of conditional variance 2933
4. Specification of nonlinear models 2934
5. Estimation in nonlinear time series 2937
. Estimation of parameters in parametric models 2937
*The work for this paper originated when TT and DT were visiting the University of California, San
Diego. They wish to thank the economics and mathematics departments, respectively, of UCSD for their
hospitality and John Rice and Murray Rosenblatt, in particular. The research of TT was also supported
by the University of , Bank of Norway and a grant from the YrjG Jahnsson Foundation. DT
acknowledges financial support from the Norwegian Council for Research and CWJG from NSF, Grant
SES 9023037.
Handbook of Econometrics, Volume IV, Edited by . Engle and . McFadden
0 1994 Elsevier Science B. V. All rights reserved
2918 et al.
. Estimation of nonparametric functions 2938
. Estimation of restricted nonparametric and semiparametric models 2942
6. Evaluation of estimated models 2945
7. Example 2946
8. Conclusions 2952
References 2953
Ch. 48: Aspects ofModelling Nonlinear Time Series 2919
Abstract
This paper surveys some of the recent developments in nonlinear analysis of
economic time series. The emphasis lies on stochastic models. Various c