Nonlinear Time Series Analysis of Economic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance, 1)

__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. Front Matter....Pages i-xvi Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches....Pages 1-32 A Markov Switching Cookbook....Pages 33-43 A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series....Pages 45-85 Nonlinear Econometric Modelling: A Selective Review....Pages 87-109 Unit-Root Tests and Excess Returns....Pages 111-128 On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships....Pages 129-142 Stationarity Tests with Multiple Endogenized Breaks....Pages 143-163 Nonlinear Evolution In UK Stock Returns And Volume....Pages 165-177 Nonlinear Adjustment Towards Long-Run Money Demand....Pages 179-190 Asymmetric Nonlinear Smooth Transition Garch Models....Pages 191-207 Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching....Pages 209-229 Business Cycle Dynamics: Predicting Transitions with Macrovariables....Pages 231-265 Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model....Pages 267-288 Improved Testing and Specification of Smooth Transition Regression Models....Pages 289-319 Speculative Behavior, Regime-Switching, and Stock Market Crashes....Pages 321-356 Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test....Pages 357-367 Back Matter....Pages 369-373