TAILIEUCHUNG - Lecture Applied econometric time series (4e) - Chapter 7: Nonlinear models and breaks

This chapter presents the following content: Linear versus nonlinear adjustment, simple extensions of the ARMA model, testing for nonlinearity, threshold autoregressive models, extensions of the TAR model, three threshold models, smooth transition models,. | Chapter 7 Applied Econometric Time Series 4rd ed. Walter Enders AETS 3rd. edition 1 1 LINEAR VERSUS NONLINEAR ADJUSTMENT On a long automobile trip to a new location, you might take along a road atlas. For most trips, such a linear approximation is extremely useful. Try to envision the nuisance of a nonlinear road atlas. For other types of trips, the linearity assumption is clearly inappropriate. It would be disastrous for NASA to use a flat map of the earth to plan the trajectory of a rocket launch. Similarly, the assumption that economic processes are linear can provide useful approximations to the actual time-paths of economic variables. Nevertheless, policy makers could make a serious error if they ignore the empirical evidence that unemployment increases more sharply than it decreases. 2 The Use of Nonlinear Models It is now generally agreed that linear econometric models do not capture the dynamic relationships present in many economic time-series. The observation that firms are more apt to raise than to lower prices is a key feature of many macroeconomic models. Neftci (1984), Falk(1986), DeLong and Summers (1988), Granger and Lee (1989), and Teräsvirta and Anderson (1992) establish the result that many real variables display non-linear adjustment over the course of the business cycle. In several papers, Enders and Sandler model many terrorist incident series as nonlinear. However, adopting an incorrect non-linear specification may be more problematic than simply ignoring the non-linear structure in the data. It is not surprising, therefore, that non-linear model selection is an important area of current research. 3 The Interest Rate Spread There is evidence that interest rate spreads (st) display a nonlinear adjustment pattern. As long as

• Kinh tế học
• Econometric time series
• Applied econometric time series
• Lecture Applied econometric time series
• Chuỗi thời gian
• Kinh tế lượng
• Nonlinear models
• Stationary time series models
• Intervention analysis
• Multiequation time series models
• Cobweb model
• Modeling volatility
• Error correction models
• Stochastic trends
• Models with trend
• Time series
• Spatial market integration
• Groundnut markets
• Econometric analysis on groundnut markets
• Overview of groundnut market
• High power amplifier
• Nonlinear modeling
• Nonlinear distortion simulation
• Communication systems performance
• Canns original model
• Akaike’s information criteria
• Bayesian information criterion
• Rice leaf folder
• Nonlinear growth model
• Controlling rice leaf folder infestation
• Undergraduate econometrics
• Lecture Undergraduate econometrics
• Interaction variables
• Logistic growth curve
• Basic econometrics
• Nonlinear regression models
• Qualitative response regression models
• Panel data regression models
• The identification problem
• Time series econometrics
• Management science
• An introduction to management science
• Markov processes
• Nonlinear optimization models
• Inventory models
• Waiting line models
• Decision analysis
• BMC Bioinformatics
• Nonlinear optimization
• Constraint based modeling
• Thermotoga maritima
• Escherichia coli
• Nonlinear dynamical systems
• Stability boundary
• Stability region
• Optimal energy function
• Dynamical systems
• Dynamic models
• Parameter estimation
• Global optimization
• Nonlinear dynamic models
• Management science with spreadsheets
• Deterministic decision models
• Probabilistic decision models
• Nonlinear programming
• Differential arithmetic
• Nonlinear relationships
• Business statistics
• Regression models
• Regression analysis
• Statistical inference concerning variance
• Linear model
• Nonlinear model
• Statistical models for area
• Productivity of maize crop
• Maize crop
• Root mean square error
• Mean absolute error
• Durbin Watson statistic
• Levenberg Marquardt technique
• Shapiro Wilks statistic
• Journal of Science and Technology
• Gearshift control of a dual clutch transmission
• Sliding mode control
• Nonlinear uncertain systems
• Smooth clutch engagement
• Non linear models
• Microeconometrics Using Stata
• Nonlinear optimization methods
• Testing methods
• Bootstrap methods
• Binary outcome models
• Multinomial models
• Averaging
• Conservation of mass
• Multiphase flow models
• Multiphase flow notation
• distribution functions
• báo cáo khoa học
• báo cáo hóa học
• công trình nghiên cứu về hóa học
• tài liệu về hóa học
• cách trình bày báo cáo
• Báo cáo lâm nghiệp hay
• báo cáo lâm nghiệp
• công trình nghiên cứu lâm nghiệp
• tài liệu về lâm nghiệp