Modelling Nonlinear Economic Relationships
Terasvirta, Timo / Granger, Clive W. J. / Terasvirta, T.
This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Terasvirta illustrate ways of using dynamic, multivariate analysis techniques to provide models of nonlinear relationships between variables. They pay particular attention to the case of a single dependent variable modelled by a few explanato...