## Computational Methods for the Study of Dynamic Economies

*Ramon Marimon and Andrew Scott (eds)*

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.001.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of ... More

## Solving Nonlinear Rational Expectations Models by Eigenvalue–Eigenvector Decompositions

*Alfonso Novales, Emilio Domínguez, Javier J. Pérez, and Jesús Ruiz*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0004
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Discusses the main issues involved in practical applications of solution methods that have been proposed for rational expectations models, based on eigenvalue–eigenvector decompositions. It starts by ... More

## 16 Building nonlinear models

*Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger*

### in Modelling Nonlinear Economic Time Series

- Published in print:
- 2010
- Published Online:
- May 2011
- ISBN:
- 9780199587148
- eISBN:
- 9780191595387
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199587148.003.0016
- Subject:
- Economics and Finance, Econometrics

The topic of this chapter is nonlinear model building. Building non‐parametric models is considered first, followed by building various types of parametric nonlinear models. The latter include smooth ... More

## The Parameterized Expectations Approach: Some Practical Issues

*Albert Marcet and Guido Lorenzoni*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0007
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Some practical issues are discussed that relate to the use of the parameterized expectations approach (PEA) for solving nonlinear stochastic dynamic models with rational expectations. This approach ... More

## A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

*Harald Uhlig*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0003
- Subject:
- Economics and Finance, Macro- and Monetary Economics

An extensive treatment is provided of methods that use log‐linear approximations to solve nonlinear dynamic discrete‐time stochastic models. These methods, based on their linear counterparts, have ... More

## 3 Parametric nonlinear models

*Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger*

### in Modelling Nonlinear Economic Time Series

- Published in print:
- 2010
- Published Online:
- May 2011
- ISBN:
- 9780199587148
- eISBN:
- 9780191595387
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199587148.003.0003
- Subject:
- Economics and Finance, Econometrics

In this chapter, a number of most commonly applied nonlinear time series models are being considered. As opposed to the previous chapter, these models do not generally have their origin in economic ... More

## Dummy and Ordinal Dependent Variables

*Stephen Bazen*

### in Econometric Methods for Labour Economics

- Published in print:
- 2011
- Published Online:
- January 2012
- ISBN:
- 9780199576791
- eISBN:
- 9780191731136
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199576791.003.0004
- Subject:
- Economics and Finance, Econometrics

In many situations, the question addressed in labour economics is of a binary nature. An individual decides whether to participate or not in the labour force. He or she is either in or out. ... More

## Finite‐Difference Methods for Continuous‐Time Dynamic Programming

*Graham V. Candler*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0008
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Introduces some of the methods and underlying ideas behind computational fluid dynamics—in particular, the use is discussed of finite‐difference methods for the simulation of dynamic economies. A ... More

## Semi-Automatic Nonlinear Model Selection

*Jennifer L. Castle and David F. Hendry*

### in Essays in Nonlinear Time Series Econometrics

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199679959
- eISBN:
- 9780191760136
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199679959.003.0007
- Subject:
- Economics and Finance, Econometrics

We consider model selection for nonlinear dynamic equations with more candidate variables than observations, based on a general class of nonlinear-in-the-variables functions, addressing possible ... More

## Application of Weighted Residual Methods to Dynamic Economic Models

*Ellen R. McGrattan*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0006
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Many problems in economics require the solution to a functional equation as an intermediate step, and typically, decision functions are sought that satisfy a set of Euler conditions or a value ... More

## Approximate filtering and smoothing

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0010
- Subject:
- Mathematics, Probability / Statistics

This chapter discusses approximate filtering and smoothing methods for the analysis of non-Gaussian and nonlinear models. The chapter is organized as follows. Sections 10.2 and 10.3 consider two ... More

## Special cases of nonlinear and non-Gaussian models

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0009
- Subject:
- Mathematics, Probability / Statistics

This chapter discusses the range of non-Gaussian and nonlinear models that can be analysed using the methods of Part II. The chapter is organized as follows. Section 9.2 considers an important ... More

## Linearity Testing for Trending Data with an Application of the Wild Bootstrap

*Robinson Kruse and Rickard Sandberg*

### in Essays in Nonlinear Time Series Econometrics

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199679959
- eISBN:
- 9780191760136
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199679959.003.0003
- Subject:
- Economics and Finance, Econometrics

This chapter presents new linearity tests in smooth transition logistic time series models allowing for parameter instability. Building on work by Lundbergh and Teräsvirta (2003), Vogelsang (1998), ... More

## Nonlinear Problems

*G. F. Roach, I. G. Stratis, and A. N. Yannacopoulos*

### in Mathematical Analysis of Deterministic and Stochastic Problems in Complex Media Electromagnetics

- Published in print:
- 2012
- Published Online:
- October 2017
- ISBN:
- 9780691142173
- eISBN:
- 9781400842650
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691142173.003.0011
- Subject:
- Mathematics, Applied Mathematics

This chapter studies nonlinearity in electromagnetic media. Nonlinearity appears in a number of cases in which the dispersion relations or equivalently the coefficients of the constitutive relations ... More

## Non-Gaussian and nonlinear illustrations

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0014
- Subject:
- Mathematics, Probability / Statistics

This chapter discusses examples which illustrate the methods that were developed in Part II for analysing observations using non-Gaussian and nonlinear state space models. These include the monthly ... More

## Importance sampling for smoothing

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0011
- Subject:
- Mathematics, Probability / Statistics

This chapter develops the methodology of importance sampling based on simulation for the analysis of observations from the non-Gaussian and nonlinear models that were specified in Chapter 9. It shows ... More

## Introduction

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0001
- Subject:
- Mathematics, Probability / Statistics

This introductory chapter provides an overview of the main themes covered in the present book, namely linear Gaussian state space models and non-Gaussian and nonlinear state space models. It also ... More

## Are There Thresholds of Current Account Adjustment in the G7?

*Richard H. Clarida, Manuela Goretti, and Mark P. Taylor*

### in G7 Current Account Imbalances: Sustainability and Adjustment

- Published in print:
- 2007
- Published Online:
- February 2013
- ISBN:
- 9780226107264
- eISBN:
- 9780226107288
- Item type:
- chapter

- Publisher:
- University of Chicago Press
- DOI:
- 10.7208/chicago/9780226107288.003.0006
- Subject:
- Economics and Finance, Financial Economics

This chapter addresses the nonlinear models of current account adjustment for the G7 countries. For most of the G7 countries, significant evidence of threshold effects in current account adjustment ... More

## Bayesian Treatments of Neuroimaging Data

*Will Penny and Karl Friston*

### in Bayesian Brain: Probabilistic Approaches to Neural Coding

- Published in print:
- 2006
- Published Online:
- August 2013
- ISBN:
- 9780262042383
- eISBN:
- 9780262294188
- Item type:
- chapter

- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262042383.003.0005
- Subject:
- Neuroscience, Disorders of the Nervous System

This chapter describes the application of Bayesian methods to neuroimaging data. First, it introduces a functional magnetic resonance imaging (fMRI) data set that is analysed using posterior ... More

## Consistent Testing of Functional Form in Time Series Models

*James Davidson and Andreea G. Halunga*

### in Essays in Nonlinear Time Series Econometrics

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199679959
- eISBN:
- 9780191760136
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199679959.003.0002
- Subject:
- Economics and Finance, Econometrics

We develop a consistent procedure for testing the adequacy of parametric time series models. The approach is to extend Herman Bierens’s idea of examining the covariances between regression residuals ... More