Essays in Nonlinear Time Series Econometrics

by Haldrup, Niels; Meitz, Mika; Saikkonen, Pentti

• ISBN13: 9780199679959
• ISBN10: 0199679959
• Format: Hardcover
• Copyright: 2014-07-29
• Publisher: Oxford University Press

Author Biography

Niels Haldrup, Professor of Economics, Aarhus University,Mika Meitz, Assistant Professor of Economics, University of Helsinki,Pentti Saikkonen, Professor of Statistics, University of Helsinki

Niels Haldrup is Professor of Economics at Aarhus University. He is director of CREATES, a research center of excellence funded by the Danish National Research Foundation. He has published widely in Journals such as Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, and Econometric Theory. He is an Associate Editor of Journal of Applied Econometrics, Scandinavian Journal of Economics, Macroeconomic Dynamics, and Journal of Time Series Econometrics.



Mika Meitz is Assistant Professor of Economics at University of Helsinki. He has published in journals such as Econometric Theory, Journal of Business and Economic Statistics, Journal of Multivariate Analysis, and Journal of Time Series Analysis.


Pentti Saikkonen is Professor of Statistics at the University of Helsinki. He has published on various aspects of time series analysis and econometrics in journals such as Biometrika, Econometrica, Econometric Theory, Journal of the American Statistical Association, Journal of Business and Economic Statistics, Journal of Econometrics, and Journal of Time Series Analysis. He is currently Co-Editor of Econometric Theory

Table of Contents

Preface
Testing for Linearity and Functional Form
1. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions, Jin Seo Cho, Isao Ishida, and Halbert White
2. Consistent Testing of Functional Form in Time Series Models, James Davidson and Andreea G. Halunga
3. Linearity Testing for Trending Data with an Application of the Wild Bootstrap, Robinson Kruse and Rickard Sandberg
Smooth Transition Models
4. Common Non-linearities in Multiple Series of Stock Market Volatility, Heather M. Anderson and Farshid Vahid
5. Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data, Katarina Juselius and Mikael Juselius
6. Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets, Cristina Amado and Helina Laakkonen
Model Selection and Econometric Methodology
7. Semi-automatic Non-linear Model Selection, Jennifer L. Castle and David F. Hendry
8. Fundamental Problems with Nonfundamental Shocks, Helmut Lutkepohl
9. Penalized Estimation of Semi-parametric Additive Time Series Models, Marcelo C. Medeiros and Eduardo F. Mendes
10. Oracle Efficient Estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions, Laurent A. F. Callot and Anders Bredahl Kock
Applied Financial Econometrics
11. Modeling Commodity Prices with Dynamic Conditional Beta, Robert Engle
12. Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons, Marco Aiolfi, Marius Rodriguez, and Allan Timmermann
13. Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation, Bard Stove and Dag Tjostheim
14. Bagging Constrained Equity Premium Predictors, Eric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros