Chapter

The nonparametric approach

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/9780199587148.003.0004

Series: Advanced Texts in Econometrics

The nonparametric approach

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In linear modelling nonparametric quantities such as the autocorrelation and spectrum are important. In this chapter the limitations of these concepts in a nonlinear context are highlighted, and it is shown that the conditional mean and the conditional variance can be more useful. The difference between local and global dependence is described. The copula (a global dependence measure) as well as a new local dependence measure are mentioned.

Keywords: autocorrelation; spectrum; conditional mean; conditional variance; local and global dependence

Chapter.  5801 words. 

Subjects: Econometrics and Mathematical Economics

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