Nonlinear Time Series Analysis of Economic and Financial DataPhilip Rothman Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area. |
Contents
A MARKOV SWITCHING COOKBOOK | 33 |
James B Ramsey and David J Thomson | 46 |
A SELECTIVE REVIEW | 87 |
UNITROOT TESTS AND EXCESS RETURNS | 111 |
ON THE INHERENT NONLINEARITY OF FREQUENCY DEPENDENT | 129 |
STATIONARITY TESTS WITH MULTIPLE ENDOGENIZED BREAKS | 143 |
Chris Brooks MelvinJ Hinich and Michael J Smith | 165 |
NONLINEAR ADJUSTMENT TOWARDS LONGRUN MONEY DEMAND | 179 |
Anderson Kiseok Nam and Farshid Vahid | 192 |
11 | 209 |
PREDICTING TRANSITIONS | 231 |
TESTING | 267 |
IMPROVED TESTING AND SPECIFICATION OF SMOOTH | 289 |
SPECULATIVE BEHAVIOR REGIMESWITCHPNG AND STOCK | 321 |
HIGHERORDER RESIDUAL ANALYSIS FOR SIMPLE BILINEAR | 357 |
Other editions - View all
Nonlinear Time Series Analysis of Economic and Financial Data Philip Rothman No preview available - 2012 |
Common terms and phrases
allow alternative analysis Applied approach approximation associated assumed assumption autoregressive behavior breaks business cycle changes coefficient cointegrating cointegrating vectors component conditional consider corresponding crashes dependence discussed distribution dividends dynamics Econometrics Economic effects empirical equation errors estimated evidence examine example expected federal funds rate Figure Forecasting frequency function fundamental given Granger growth implies important increases indicates interest Journal lags likelihood linear mean measure methods nonlinear Notes null hypothesis observations obtained parameters period predictive present problem procedure properties recession regime regression reject relationship relative restrictions returns reversible sample selection shocks shows significant similar simulations specification speculative standard stationarity statistics stock market structural suggests switching Table test statistics trading transition probabilities unit root University values variables variance volatility volume zero
Popular passages
Page 355 - Finite bubbles with short sale constraints and asymmetric information.
References to this book
Asset Prices, Booms and Recessions: Financial Economics from a Dynamic ... Willi Semmler Limited preview - 2007 |