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Essays in Nonlinear Time Series Econometrics

	Essays In Nonlinear Time Series Econometrics by Edited By Haldrup, Meitz & Saikkonen
	Price : Rs 3300.00
	Your Price : Rs 2970.00

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.

Table of Contents:

Preface
Testing for Linearity and Functional Form
Jin Seo Cho, Isao Ishida and Halbert White: Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions
James Davidson and Andreea G. Halunga: Consistent Testing of Functional Form in Time Series Models
Robinson Kruse and Rickard Sandberg: Linearity Testing for Trending Data with an Application of the Wild Bootstrap
Smooth Transition Models
Heather M. Anderson and Farshid Vahid: Common Non-linearities in Multiple Series of Stock Market Volatility
Katarina Juselius and Mikael Juselius: Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data
Cristina Amado and Helina Laakkonen: Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets
Model Selection and Econometric Methodology
Jennifer L. Castle and David F. Hendry: Semi-automatic Non-linear Model Selection
Helmut Lutkepohl: Fundamental Problems with Nonfundamental Shocks
Marcelo C. Medeiros and Eduardo F. Mendes: Penalized Estimation of Semi-parametric Additive Time Series Models
Laurent A. F. Callot and Anders Bredahl Kock: Oracle Efficient Estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions
Applied Financial Econometrics
Robert Engle: Modeling Commodity Prices with Dynamic Conditional Beta
Marco Aiolfi, Marius Rodriguez and Allan Timmermann: Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons
Bard Stove and Dag Tjostheim: Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation
Eric Hillebrand, Tae-Hwy Lee and Marcelo C. Medeiros: Bagging Constrained Equity Premium PredictorsISBN - 9780199679959

Pages : 400

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Essays In Nonlinear Time Series Econometrics

by Edited By Haldrup, Meitz & Saikkonen