| Description |
1 online resource : illustrations (black and white) |
| Contents |
Machine generated contents note: pt. I Testing for Linearity and Functional Form -- 1. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions / Halbert White -- 2. Consistent Testing of Functional Form in Time Series Models / Andreea G. Halunga -- 3. Linearity Testing for Trending Data with an Application of the Wild Bootstrap / Rickard Sandberg -- pt. II Smooth Transition Models -- 4.Common Nonlinearities in Multiple Series of Stock Market Volatility / Farshid Vahid -- 5. Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data / Mikael Juselius -- 6. Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets / Helina Laakkonen -- pt. III Model Selection and Econometric Methodology -- 7. Semi-Automatic Nonlinear Model Selection / David F. Hendry -- 8. Fundamental Problems with Nonfundamental Shocks / Helmut Lutkepohl |
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Note continued: 9. Penalized Estimation of Semi-Parametric Additive Time-Series Models / Eduardo F. Mendes -- 10. Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions / 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 / Allan Timmermann -- 13. Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation / Dag Tjøstheim -- 14. Bagging Constrained Equity Premium Predictors / Marcelo C. Medeiros |
| Summary |
This is 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 |
| Analysis |
econometrie |
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econometrics |
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Econometrics |
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Econometrie |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Online resource; title from home page (viewed on July 22, 2014) |
| Subject |
Econometrics.
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Nonlinear theories.
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Time-series analysis.
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BUSINESS & ECONOMICS -- Economics -- General.
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BUSINESS & ECONOMICS -- Reference.
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Econometrics
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Nonlinear theories
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Time-series analysis
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Business & Economics.
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Economic Theory.
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| Form |
Electronic book
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| Author |
Haldrup, Niels, editor.
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Meitz, Mika, editor.
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Saikkonen, Pentti, editor.
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| ISBN |
9780191760136 |
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0191760137 |
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9780191669545 |
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0191669547 |
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