Nonlinear Time Series Analysis of Economic and Financial Data

by Rothman, Philip

• ISBN13: 9780792383796
• ISBN10: 0792383796
• Format: Hardcover
• Copyright: 1999-01-01
• Publisher: Kluwer Academic Pub

Summary

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.

Table of Contents

Contributing Authors	ix	(2)
Introduction	xi
Philip Rothman
1 BUSINESS CYCLE TURNING POINTS: TWO EMPIRICAL BUSINESS CYCLE MODEL APPROACHES	1	(32)
Andrew J. Filardo
Stephen F. Gordon
2 A MARKOV SWITCHING COOKBOOK	33	(12)
Bruce Mizrach
James Watkins
3 A REANALYSIS OF THE SPECTRAL PROPERTIES OF SOME ECONOMIC AND FINANCIAL TIME SERIES	45	(42)
James B. Ramsey
David J. Thomson
4 NONLINEAR ECONOMETRIC MODELLING: A SELECTIVE REVIEW	87	(24)
Norman R. Swanson
Philip Hans Franses
5 UNIT-ROOT TESTS AND EXCESS RETURNS	111	(18)
Marie-Josee Godbout
Simon van Norden
6 ON THE INHERENT NONLINEARITY OF FREQUENCY DEPENDENT TIME SERIES RELATIONSHIPS	129	(14)
Hui Boon Tan
Richard Ashley
7 STATIONARITY TESTS WITH MULTIPLE ENDOGENIZED BREAKS	143	(22)
Junsoo Lee
8 NONLINEAR EVOLUTION IN UK STOCK RETURNS AND VOLUME	165	(14)
Chris Brooks
Melvin J. Hinich
Michael J. Smith
9 NONLINEAR ADJUSTMENT TOWARDS LONG-RUN MONEY DEMAND	179	(12)
Panos Michael
A. Robert Nobay
David A. Peel
10 ASYMMETRIC NONLINEAR SMOOTH TRANSITION GARCH MODELS	191	(18)
Heather M. Anderson
Kiseok Nam
Farshid Vahid
11 TESTING THE PRESENT VALUE HYPOTHESIS FROM A VECTOR AUTOREGRESSION WITH STOCHASTIC REGIME SWITCHING	209	(22)
John Driffill
Martin Sola
12 BUSINESS CYCLE DYNAMICS: PREDICTING TRANSITIONS WITH MACROVARIABLES	231	(36)
Morten O. Ravn
Martin Sola
13 SEARCHING FOR THE SOURCES OF ARCH BEHAVIOR: TESTING THE MIXTURE OF DISTRIBUTIONS MODEL	267	(22)
Patrick de Fontnouvelle
14 IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS	289	(32)
Alvaro Escribano
Oscar Jorda
15 SPECULATIVE BEHAVIOR, REGIME-SWITCHING, AND STOCK MARKET CRASHES	321	(36)
Simon van Norden
Huntley Schaller
16 HIGHER-ORDER RESIDUAL ANALYSIS FOR SIMPLE BILINEAR AND THRESHOLD AUTOREGRESSIVE MODELS WITH THE TR TEST	357	(12)
Philip Rothman
Index	369