Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics [ 2002-08-22 - 2005-08-21 ]

Research Grant

Researchers: Dr Jiti Gao (Chief Investigator) ,  Prof Dr Maxwell King (Chief Investigator) ,  Prof Dr Dag Tjostheim (Partner Investigator)

Brief description Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems. \r\n\r\nThe main aims of this proposal are \r\n\r\n(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearity, and additivity; \r\n\r\n(ii) to develop novel computational procedures and programmes for the necessary statistical inference associated with new high dimensional nonlinear dynamical models; and \r\n\r\n(iii) to apply the techniques and programmes to improve economic and financial model building and forecasts from better models. \r\n

Funding Amount $99,000

Funding Scheme Discovery Projects

View this grant in the ARC Data Portal