Essays in nonlinear time series econometrics / Niels Haldrup, Mika Meitz, and Pentti Saikkonen
- Published:
- Oxford : Oxford University Press, 2014.
- Physical Description:
- 1 online resource : illustrations (black and white)
- Additional Creators:
- Haldrup, Niels
Meitz, Mika
Saikkonen, Pentti - Access Online:
- ezaccess.libraries.psu.edu
- Contents:
- Machine generated contents note: pt. I Testing for Linearity and Functional Form -- 1.Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions / Halbert White -- 2.Consistent Testing of Functional Form in Time Series Models / Andreea G. Halunga -- 3.Linearity Testing for Trending Data with an Application of the Wild Bootstrap / Rickard Sandberg -- pt. II Smooth Transition Models -- 4.Common Nonlinearities in Multiple Series of Stock Market Volatility / Farshid Vahid -- 5.Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data / Mikael Juselius -- 6.Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets / Helina Laakkonen -- pt. III Model Selection and Econometric Methodology -- 7.Semi-Automatic Nonlinear Model Selection / David F. Hendry -- 8.Fundamental Problems with Nonfundamental Shocks / Helmut Lutkepohl -- 9.Penalized Estimation of Semi-Parametric Additive Time-Series Models / Eduardo F. Mendes -- 10.Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions / Anders Bredahl Kock -- pt. IV 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 / Allan Timmermann -- 13.Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation / Dag Tjostheim -- 14.Bagging Constrained Equity Premium Predictors / Marcelo C. Medeiros.
- Summary:
- This is a book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
- Subject(s):
- ISBN:
- 9780191760136 (ebook)
- Bibliography Note:
- Includes bibliographical references and index.
View MARC record | catkey: 28928660