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Titolo:
Overview of nonlinear macroeconometric empirical models
Autore:
Granger, CWJ;
Indirizzi:
Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA Univ Calif San Diego La Jolla CA USA 92093 t Econ, La Jolla, CA 92093 USA
Titolo Testata:
MACROECONOMIC DYNAMICS
fascicolo: 4, volume: 5, anno: 2001,
pagine: 466 - 481
SICI:
1365-1005(200109)5:4<466:OONMEM>2.0.ZU;2-0
Fonte:
ISI
Lingua:
ENG
Soggetto:
TIME-SERIES; BUSINESS CYCLES; NEURAL NETWORKS; UNITED-KINGDOM; EXCHANGE-RATES; MONEY; FLUCTUATIONS; GROWTH; UK; ASYMMETRIES;
Keywords:
nonlinear models; multivariate models; vector autoregressive model; error correction model; aggregation;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
62
Recensione:
Indirizzi per estratti:
Indirizzo: Granger, CWJ Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA Univ Calif San Diego La Jolla CA USA 92093 lla, CA 92093 USA
Citazione:
C.W.J. Granger, "Overview of nonlinear macroeconometric empirical models", MACROECON D, 5(4), 2001, pp. 466-481

Abstract

A survey of nonlinear multivariate macro empirical models is attempted. Although theory may suggest that nonlinearity is to be expected, empirical studies have difficulty in discovering strong consistent effects. Regime switching techniques appear to be the most successful and evidence of nonlinearity is most found for interest rates. Most of the studies emphasize model fitting rather than model evaluation. which limits their usefulness.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 18/01/20 alle ore 02:21:21