Chapter

Concepts, models, and definitions

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0001

Series: Advanced Texts in Econometrics

Concepts, models, and definitions

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This chapter gives a brief overview of the basic concepts and topics used in the book. There exists a large literature on linear stationary models. The purpose of the present book is to look at nonlinear models in both a stationary and nonstationary framework. Linear techniques are contrasted with typical tools used to analyse nonlinearity, such as the conditional mean and the conditional variance, and Markov chain theory. Nonlinear parametric models are mentioned as well as nonparametric ones.

Keywords: linearity and nonlinearity; stationarity and non‐stationarity

Chapter.  7002 words. 

Subjects: Econometrics and Mathematical Economics

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