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.
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.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Niels Haldrup is Professor of Economics at Aarhus University. He is director of CREATES, a research center of excellence funded by the Danish National Research Foundation. He has published widely in Journals such as Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, and Econometric Theory. He is an Associate Editor of Journal of Applied Econometrics, Scandinavian Journal of Economics, Macroeconomic Dynamics, and Journal of Time Series Econometrics. Mika Meitz is Assistant Professor of Economics at University of Helsinki. He has published in journals such as Econometric Theory, Journal of Business and Economic Statistics, Journal of Multivariate Analysis, and Journal of Time Series Analysis. Pentti Saikkonen is Professor of Statistics at the University of Helsinki. He has published on various aspects of time series analysis and econometrics in journals such as Biometrika, Econometrica, Econometric Theory, Journal of the American Statistical Association, Journal of Business and Economic Statistics, Journal of Econometrics, and Journal of Time Series Analysis. He is currently Co-Editor of Econometric Theory
Inhaltsangabe
* Preface * Testing for Linearity and Functional Form * 1: Jin Seo Cho, Isao Ishida, and Halbert White: Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions * 2: James Davidson and Andreea G. Halunga: Consistent Testing of Functional Form in Time Series Models * 3: Robinson Kruse and Rickard Sandberg: Linearity Testing for Trending Data with an Application of the Wild Bootstrap * Smooth Transition Models * 4: Heather M. Anderson and Farshid Vahid: Common Non-linearities in Multiple Series of Stock Market Volatility * 5: Katarina Juselius and Mikael Juselius: Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data * 6: Cristina Amado and Helinä Laakkonen: Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets * Model Selection and Econometric Methodology * 7: Jennifer L. Castle and David F. Hendry: Semi-automatic Non-linear Model Selection * 8: Helmut Lütkepohl: Fundamental Problems with Nonfundamental Shocks * 9: Marcelo C. Medeiros and Eduardo F. Mendes: Penalized Estimation of Semi-parametric Additive Time Series Models * 10: 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 * 11: Robert Engle: Modeling Commodity Prices with Dynamic Conditional Beta * 12: Marco Aiolfi, Marius Rodriguez, and Allan Timmermann: Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons * 13: Bård Støve and Dag Tjøstheim: Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation * 14: Eric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros: Bagging Constrained Equity Premium Predictors
* Preface * Testing for Linearity and Functional Form * 1: Jin Seo Cho, Isao Ishida, and Halbert White: Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions * 2: James Davidson and Andreea G. Halunga: Consistent Testing of Functional Form in Time Series Models * 3: Robinson Kruse and Rickard Sandberg: Linearity Testing for Trending Data with an Application of the Wild Bootstrap * Smooth Transition Models * 4: Heather M. Anderson and Farshid Vahid: Common Non-linearities in Multiple Series of Stock Market Volatility * 5: Katarina Juselius and Mikael Juselius: Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data * 6: Cristina Amado and Helinä Laakkonen: Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets * Model Selection and Econometric Methodology * 7: Jennifer L. Castle and David F. Hendry: Semi-automatic Non-linear Model Selection * 8: Helmut Lütkepohl: Fundamental Problems with Nonfundamental Shocks * 9: Marcelo C. Medeiros and Eduardo F. Mendes: Penalized Estimation of Semi-parametric Additive Time Series Models * 10: 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 * 11: Robert Engle: Modeling Commodity Prices with Dynamic Conditional Beta * 12: Marco Aiolfi, Marius Rodriguez, and Allan Timmermann: Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons * 13: Bård Støve and Dag Tjøstheim: Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation * 14: Eric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros: Bagging Constrained Equity Premium Predictors
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