Why hammerstein-type block models are so efficient: Case study of financial econometrics
© Springer Nature Switzerland AG 2019. In the first approximation, many economic phenomena can be described by linear systems. However, many economic processes are non-linear. So, to get a more accurate description of economic phenomena, it is necessary to take this non-linearity into account. In ma...
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| Main Authors: | , , , |
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| Format: | Book Series |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85065607823&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65552 |
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| Institution: | Chiang Mai University |
| Summary: | © Springer Nature Switzerland AG 2019. In the first approximation, many economic phenomena can be described by linear systems. However, many economic processes are non-linear. So, to get a more accurate description of economic phenomena, it is necessary to take this non-linearity into account. In many economic problems, among many different ways to describe non-linear dynamics, the most efficient turned out to be Hammerstein-type block models, in which the transition from one moment of time to the next consists of several consequent blocks: linear dynamic blocks and blocks describing static non-linear transformations. In this paper, we explain why such models are so efficient in econometrics. |
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