Essays in Nonlinear Time Series Econometrics (eBook, PDF)

Redaktion: Haldrup, Niels; Saikkonen, Pentti; Meitz, Mika

• Format: PDF

Produktbeschreibung

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

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Produktdetails

• Verlag: Oxford University Press
• Seitenzahl: 352
• Erscheinungstermin: 26. Juni 2014
• Englisch
• ISBN-13: 9780191669545
• Artikelnr.: 41086059

Autorenporträt

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