Essays in nonlinear time series econometrics /
xxiii, 367 p. : illustrations ; 25 cm. Content notes : Pt. I Testing for Linearity and Functional Form --
1.Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions / Jin Seo Cho, Isao Ishida, and Halbert White --
2.Consistent Testing of Functional Form in Time Series Models / James Davidson and Andreea G. Halunga --
3.Linearity Testing for Trending Data with an Application of the Wild Bootstrap / Robinson Kruse and Rickard Sandberg --
pt. II Smooth Transition Models --
4.Common Nonlinearities in Multiple Series of Stock Market Volatility / Heather M. Anderson and Farshid Vahid --
5.Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data / Katarina Juselius and Mikael Juselius --
6.Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets / Cristina Amado and Helina Laakkonen --
pt. III Model Selection and Econometric Methodology --
7.Semi-Automatic Nonlinear Model Selection / Jennifer L. Castle and David F. Hendry --
8.Fundamental Problems with Nonfundamental Shocks / Helmut Lutkepohl 9.Penalized Estimation of Semi-Parametric Additive Time-Series Models / Marcelo C. Medeiros and Eduardo F. Mendes --
10.Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions / Laurent A.F. Callot and 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 / Marco Aiolfi, Marius Rodriguez, and Allan Timmermann --
13.Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation / Bard Støve and Dag Tjøstheim --
14.Bagging Constrained Equity Premium Predictors / Eric Hillebrand, Tae-Hwy Lee, and Marcelo C. Medeiros. Nonlinear theories. Time-series analysis. Meitz, Mika,Saikkonen, Pentti,
