Relevant bibliographies by topics / Nonlinear econometric

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
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Academic literature on the topic 'Nonlinear econometric'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Nonlinear econometric"

1

Andersen, Torben G. "SIMULATION-BASED ECONOMETRIC METHODS." Econometric Theory 16, no. 1 (February 2000): 131–38. http://dx.doi.org/10.1017/s0266466600001080.

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The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods, with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of the standard linear model, linear simultaneous equations with the associated instrumental variable techniques, and maximum likelihood estimation within the exponential family. During the 1970's and 1980's the development of powerful numerical optimization routines led to the exploration of procedures without closed-form solutions for the estimators. During this period the general theory of nonlinear statistical inference was developed, and nonlinear micro models such as limited dependent variable models and nonlinear time series models, e.g., ARCH, were explored. The associated estimation principles included maximum likelihood (beyond the exponential family), pseudo-maximum likelihood, nonlinear least squares, and generalized method of moments. Finally, the third stage considers problems without a tractable analytic criterion function. Such problems almost invariably arise from the need to evaluate high-dimensional integrals. The idea is to circumvent the associated numerical problems by a simulation-based approach. The main requirement is therefore that the model may be simulated given the parameters and the exogenous variables. The approach delivers simulated counterparts to standard estimation procedures and has inspired the development of entirely new procedures based on the principle of indirect inference.
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Peng, Jiangyan, and Qiying Wang. "WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS." Econometric Theory 34, no. 5 (October 26, 2017): 1132–57. http://dx.doi.org/10.1017/s0266466617000408.

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Limit theory with stochastic integrals plays a major role in time series econometrics. In earlier contributions on weak convergence to stochastic integrals, the literature commonly uses martingale and semi-martingale structures. Liang, Phillips, Wang, and Wang (2016) (see also Wang (2015), Chap. 4.5) currently extended weak convergence to stochastic integrals by allowing for a linear process or a α-mixing sequence in innovations. While these martingale, linear process and α-mixing structures have wide relevance, they are not sufficiently general to cover many econometric applications that have endogeneity and nonlinearity. This paper provides new conditions for weak convergence to stochastic integrals. Our frameworks allow for long memory processes, causal processes, and near-epoch dependence in innovations, which have applications in a wide range of econometric areas such as TAR, bilinear, and other nonlinear models.
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Franke, Jurgen, Benedikt M. Potscher, and Ingmar R. Prucha. "Dynamic Nonlinear Econometric Models: Asymptotic Theory." Journal of the American Statistical Association 94, no. 446 (June 1999): 652. http://dx.doi.org/10.2307/2670192.

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de Jong, Robert M. "DYNAMIC NONLINEAR ECONOMETRIC MODELS—ASYMPTOTIC THEORY." Econometric Theory 16, no. 1 (February 2000): 127–30. http://dx.doi.org/10.1017/s0266466600001079.

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Benedikt Pötscher and Ingmar Prucha are two exceptional econometricians who combine an extraordinary knowledge of the statistics and econometrics literature with great analytical skills. Both are excellent mathematicians, and the comment that can be heard among mathematicians that econometricians are “self-made mathematicians” definitely does not apply to them. Therefore, given the task of writing an overview of asymptotic theory for minimization estimators for dependent processes, one could hardly imagine a better choice of writers for such a task. The result is a remarkable book that deserves to receive attention from an audience that is broader than experts in the field only.
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Mariano and Brown. "Stochastic Prediction in Dynamic Nonlinear Econometric Systems." Annales de l'inséé, no. 59/60 (1985): 267. http://dx.doi.org/10.2307/20076566.

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Andrews, Donald W. K., and C. John McDermott. "Nonlinear Econometric Models with Deterministically Trending Variables." Review of Economic Studies 62, no. 3 (July 1995): 343. http://dx.doi.org/10.2307/2298032.

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Schineller, Lisa M. "A Nonlinear Econometric Analysis of Capital Flight." International Finance Discussion Paper 1997, no. 594 (October 1997): 1–38. http://dx.doi.org/10.17016/ifdp.1997.594.

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Andrews, Isaiah, and Anna Mikusheva. "A Geometric Approach to Nonlinear Econometric Models." Econometrica 84, no. 3 (2016): 1249–64. http://dx.doi.org/10.3982/ecta12030.

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Schwiebert, Jörg. "A detailed decomposition for nonlinear econometric models." Journal of Economic Inequality 13, no. 1 (November 29, 2014): 53–67. http://dx.doi.org/10.1007/s10888-014-9291-x.

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Andrews, Donald W. K., and Ray C. Fair. "Inference in Nonlinear Econometric Models with Structural Change." Review of Economic Studies 55, no. 4 (October 1988): 615. http://dx.doi.org/10.2307/2297408.

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Dissertations / Theses on the topic "Nonlinear econometric"

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Aslan, Serdar. "Nonlinear Estimation Techniques Applied To Econometric." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605649/index.pdf.

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This thesis considers the filtering and prediction problems of nonlinear noisy econometric systems. As a filter/predictor, the standard tool Extended Kalman Filter and new approaches Discrete Quantization Filter and Sequential Importance Resampling Filter are used. The algorithms are compared by using Monte Carlo Simulation technique. The advantages of the new algorithms over Extended Kalman Filter are shown.
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Pavlidis, Efthymios. "Nonlinear econometric methods in international economics." Thesis, Lancaster University, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.539653.

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Aslan, Serdar Supervisor :. Demirbaş Kerim. "Nonlinear estimation techniques applied to econometric problems." Ankara : METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605649/index.pdf.

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Pitrun, Ivet 1959. "A smoothing spline approach to nonlinear inference for time series." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8367.

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Xu, Xingbai Xu. "Asymptotic Analysis for Nonlinear Spatial and Network Econometric Models." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461249529.

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Gascoigne, Jamie. "An econometric analysis of nonlinear dynamics in macroeconomic time series." Thesis, University of Sheffield, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.425625.

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Qi, Min. "Financial applications of generalized nonlinear nonparametric econometric methods (artificial neural networks) /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487940308431805.

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Lawford, Stephen Derek Charles. "Improved modelling in finite-sample and nonlinear frameworks." Thesis, University of York, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341496.

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Lyman, Mark B. "A modified cluster-weighted approach to nonlinear time series /." Diss., CLICK HERE for online access, 2007. http://contentdm.lib.byu.edu/ETD/image/etd1945.pdf.

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Eliasson, Ann-Charlotte. "Smooth transitions in macroeconomic relationships." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 1999. http://www.hhs.se/efi/summary/516.htm.

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Books on the topic "Nonlinear econometric"

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Pötscher, Benedikt M., and Ingmar R. Prucha. Dynamic Nonlinear Econometric Models. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6.

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Babeshko, Lyudmila, Mihail Bich, and Irina Orlova. Econometrics and econometric modeling. ru: INFRA-M Academic Publishing LLC., 2021. http://dx.doi.org/10.12737/1141216.

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The textbook covers a wide range of issues related to econometric modeling. Regression models are the core of econometric modeling, so the issues of their evaluation, testing of assumptions, adjustment and verification are given a significant place. Various aspects of multiple regression models are included: multicollinearity, dummy variables, and lag structure of variables. Methods of linearization and estimation of nonlinear models are considered. An apparatus for evaluating systems of simultaneous and apparently unrelated equations is presented. Attention is paid to time series models. Detailed solutions of the examples in Excel and the R software environment are included. Meets the requirements of the federal state educational standards of higher education of the latest generation. For undergraduate and graduate students studying in the field of "Economics", the curriculum of which includes the disciplines "Econometrics"," Econometric Modeling","Econometric research".
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R, Prucha Ingmar, ed. Dynamic nonlinear econometric models: Asymptotic theory. New York: Springer-Verlag, 1997.

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Pötscher, Benedikt M. Dynamic Nonlinear Econometric Models: Asymptotic Theory. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997.

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Nonlinear financial econometrics: Markhov switching models, persistence and nonlinear cointegration. Basingstoke: Palgrave Macmillan, 2011.

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Timo, Teräsvirta, ed. Modelling nonlinear economic relationships. Oxford [England]: Oxford University Press, 1993.

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Caballero, Ricardo J. Nonlinear aggregate investment dynamics: Theory and evidence. Cambridge, MA: National Bureau of Economic Research, 1998.

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Chauvet, Marcelle. Nonlinear risk. [New York, N.Y.]: Federal Reserve Bank of New York, 1999.

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Frain, John. Non-linear methods in econometrics: An introductory survey. Dublin: Research Division, Central Bank of Ireland, 1993.

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Fernández-Villaverde, Jesús. Estimating dynamic equilibrium economies: Linear versus nonlinear likelihood. [Atlanta]: Federal Reserve Bank of Atlanta, 2004.

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Book chapters on the topic "Nonlinear econometric"

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Introduction." In Dynamic Nonlinear Econometric Models, 1–7. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_1.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Central Limit Theorems." In Dynamic Nonlinear Econometric Models, 99–103. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_10.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Asymptotic Normality: Catalogues of Assumptions." In Dynamic Nonlinear Econometric Models, 105–20. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_11.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices." In Dynamic Nonlinear Econometric Models, 121–36. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_12.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions." In Dynamic Nonlinear Econometric Models, 137–43. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_13.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Quasi Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems." In Dynamic Nonlinear Econometric Models, 145–69. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_14.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Concluding Remarks." In Dynamic Nonlinear Econometric Models, 171–73. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_15.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Models, Data Generating Processes, and Estimators." In Dynamic Nonlinear Econometric Models, 9–13. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_2.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Basic Structure of the Classical Consistency Proof." In Dynamic Nonlinear Econometric Models, 15–21. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_3.

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Pötscher, Benedikt M., and Ingmar R. Prucha. "Further Comments on Consistency Proofs." In Dynamic Nonlinear Econometric Models, 23–35. Berlin, Heidelberg: Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-662-03486-6_4.

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Conference papers on the topic "Nonlinear econometric"

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Frischknecht, Bart, Katie Whitefoot, and Panos Papalambros. "Methods for Evaluating Suitability of Econometric Demand Models in Design for Market Systems." In ASME 2009 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/detc2009-87165.

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This paper articulates some of the challenges for what has been an implicit goal of design for market systems research: To predict demand for differentiated products so that counterfactual experiments can be performed based on changes to the product design (i.e., attributes). We present a set of methods for examining econometric models of consumer demand for their suitability in product design studies. We use these methods to test the hypothesis that automotive demand models that allow for nonlinear horizontal differentiation perform better than the conventional functional forms, which emphasize vertical differentiation. We estimate these two forms of consumer demand in the new vehicle automotive market, and find that using an ideal-point model of size preference rather than a monotonic model has model fit but different attribute substitution patterns. The generality of the evaluation methods and the range of demand model issues to be explored in future research are highlighted.
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ŞAHBAZ, AHMET, Uğur Adıgüzel, Tayfur Bayat, and Selim Kayhan. "The Relationship between Oil Prices and Exchange Rate: The Case of Romania." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00660.

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This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the mediun and long run.
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Charfeddine, Lanouar, and Karim Barkat. "Do Oil and Gas Revenues promote Economic Diversification in Qatar?" In Qatar University Annual Research Forum & Exhibition. Qatar University Press, 2020. http://dx.doi.org/10.29117/quarfe.2020.0048.

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The aim of this paper is to explore the short- and long-term asymmetric impact of oil prices shocks and oil and gas revenues changes on the total real GDP, and the level of economic diversification of the Qatar economy. To this end, two econometric approaches have been used: (1) the A-B structural vector autoregressive (AB − SVARX) model with exogenous variables where four different asymmetric oil prices and oil and gas revenues measures have been employed, and (2) the nonlinear autoregressive distributed lag (NARDL) model. The results show that, in the short-run, the responses of both total real GDP and non-oil real GDP to negative shocks on real oil prices and real oil and gas revenues are higher than the impact of positive shocks, indicating evidence for the existence of asymmetric impact of shocks in the short-run. However, the results suggest that the impact of shocks do not last more than three quarters. This evidence for the existence of asymmetric behavior is also confirmed by the NARDL analysis, which shows that, in the long run, positive oil prices shocks and oil and gas revenues changes have higher impact on the two proxies of economic activity than negative changes do. A result that confirms the resilience of the Qatar economy to negative shocks and the positive role played by the energy sector in improving the Qatar economic diversification degree. Finally, the results show that the non-oil sector is completely resilient to negative shocks in the long run as the impact of negative shocks are insignificant on the non-oil real GDP. Several policies aimed to improve the level of economic diversification of the country and delink the government revenues from oil and gas revenues are proposed and discussed.
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Ağayev, Seymur. "The Validity of Purchasing Power Parity Hypothesis for Kazakhstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00594.

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The article examines the validity of Purchasing Power Parity (PPP) hypothesis for Kazakhstan by using the data set belonging to the period January 1995 to December 2012. Both linear and nonlinear unit root tests are used to make an econometrical investigation on stationarity characteristics of real exchange rate series of Kazakhstan’s Tenge that defined according to different foreign countries or country groups. First of two nonlinear unit root tests that applied in this paper models structural change as a smooth transition and the other nonlinear unit root test takes into account both structural change and asymmetric adjustment characteristics of real exchange rates. Linear unit root test findings support the validity of the PPP hypothesis between Kazakhstan and Commonwealth of Independent States (CIS) countries. In addition to this finding, unit root tests that allow for nonlinear adjustment support evidences on stationarity of Tenge – US dollar real exchange rate, Tenge – Euro real exchange rate and Tenge’s non-CIS related real effective exchange rate series. As a whole, findings of this study provide a strong support on the validity of PPP hypothesis for Kazakhstan. Furthermore, it is also shows that the nonlinear adjustment characteristics of real exchange rate should be taken into account, if foreign countries are represented by free market economies.
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Reports on the topic "Nonlinear econometric"

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Guidolin, Massimo, and Allan Timmermann. An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.003.

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