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A Nonlinear Time Series Workshop

A Toolkit for Detecting and Identifying Nonlinear Serial Dependence

  • Book
  • © 2000

Overview

Authors:
  1. Douglas M. Patterson

    1. Department of Finance, Insurance, and Business Law, Virginia Polytechnic Institute and State University, Blacksburg, USA

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    You can also search for this author in PubMed   Google Scholar

  2. Richard A. Ashley

    1. Department of Economics, Virginia Polytechnic Institute of Technology, Blacksburg, USA

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 2)

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-ix
    Download chapter PDF

  2. Nonlinearity in Stochastic Processes: What it is and Why it Matters

    • Douglas M. Patterson, Richard A. Ashley
    Pages 1-38

  3. Detecting Nonlinear Serial Dependence

    • Douglas M. Patterson, Richard A. Ashley
    Pages 39-49

  4. How to Run the Toolkit Program on a PC

    • Douglas M. Patterson, Richard A. Ashley
    Pages 51-62

  5. Artificially Generated Data: Size Considerations

    • Douglas M. Patterson, Richard A. Ashley
    Pages 63-72

  6. Artificially Generated Data: Power and Model Specification Considerations

    • Douglas M. Patterson, Richard A. Ashley
    Pages 73-93

  7. Analysis of Stock Market Returns

    • Douglas M. Patterson, Richard A. Ashley
    Pages 95-119

  8. Glint Tracking Errors in Radar

    • Douglas M. Patterson, Richard A. Ashley
    Pages 121-136

  9. Seismic Data

    • Douglas M. Patterson, Richard A. Ashley
    Pages 137-159

  10. Analysis of U.S. Real GNP

    • Douglas M. Patterson, Richard A. Ashley
    Pages 161-166

  11. Dynamic Structure of Macroeconomic Technology Shocks

    • Douglas M. Patterson, Richard A. Ashley
    Pages 167-175

  12. Climatological Data

    • Douglas M. Patterson, Richard A. Ashley
    Pages 177-188

  13. Back Matter

    Pages 189-201
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Keywords

Authors and Affiliations

  • Department of Finance, Insurance, and Business Law, Virginia Polytechnic Institute and State University, Blacksburg, USA

    Douglas M. Patterson

  • Department of Economics, Virginia Polytechnic Institute of Technology, Blacksburg, USA

    Richard A. Ashley

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