Nonlinear Time Series Analysis of Economic and Financial Data

1. Front Matter

   Pages i-xvi

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2. Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches

   • Andrew J. Filardo, Stephen F. Gordon

   Pages 1-32

3. A Markov Switching Cookbook

   • Bruce Mizrach, James Watkins

   Pages 33-43

4. A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series

   • James B. Ramsey, David J. Thomson

   Pages 45-85

5. Nonlinear Econometric Modelling: A Selective Review

   • Norman R. Swanson, Philip Hans Franses

   Pages 87-109

6. Unit-Root Tests and Excess Returns

   • Marie-Josée Godbout, Simon van Norden

   Pages 111-128

7. On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships

   • Hui Boon Tan, Richard Ashley

   Pages 129-142

8. Stationarity Tests with Multiple Endogenized Breaks

   • Junsoo Lee

   Pages 143-163

9. Nonlinear Evolution In UK Stock Returns And Volume

   • Chris Brooks, Melvin J. Hinich, Michael J. Smith

   Pages 165-177

10. Nonlinear Adjustment Towards Long-Run Money Demand

    • Panos Michael, A. Robert Nobay, David A. Peel

    Pages 179-190

11. Asymmetric Nonlinear Smooth Transition Garch Models

    • Heather M. Anderson, Kiseok Nam, Farshid Vahid

    Pages 191-207

12. Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching

    • John Driffill, Martin Sola

    Pages 209-229

13. Business Cycle Dynamics: Predicting Transitions with Macrovariables

    • Morten O. Ravn, Martin Sola

    Pages 231-265

14. Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model

    • Patrick de Fontnouvelle

    Pages 267-288

15. Improved Testing and Specification of Smooth Transition Regression Models

    • Alvaro Escribano, Oscar Jordá

    Pages 289-319

16. Speculative Behavior, Regime-Switching, and Stock Market Crashes

    • Simon van Norden, Huntley Schaller

    Pages 321-356

17. Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

    • Philip Rothman

    Pages 357-367

18. Back Matter

    Pages 369-373

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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.

• business cycle
• calculus
• dynamics
• modeling
• nonlinearity
• regression
• sets
• time series
• time series analysis

• East Carolina University, USA

  Philip Rothman

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