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Modelling Nonlinear Economic Time Series

Timo Terasvirta, Dag Tjostheim, and Clive W. J. Granger

Advanced Texts in Econometrics

  • Contains recent developments in nonlinear time series that go beyond the existing literature
  • Accessible and self-contained chapters
  • Contains both parametric and nonparametric methods
  • Encourages the reader to apply nonlinear models to their practical modelling problems
  • The wide variety of topics covered makes this volume unique
  • Complex theory is explained without being overly technical. Relevant references for technical detail are provided