OXFORD UNIVERSITY PRESS

Essays in Nonlinear Time Series Econometrics

ISBN : 9780199679959

参考価格(税込): 
¥13,332
著者: 
Niels Haldrup; Mika Meitz; Pentti Saikkonen
関連カテゴリー
ページ
400 ページ
フォーマット
Hardcover
サイズ
162 x 239 mm
刊行日
2014年06月
メール送信
印刷

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 Terasvirta, 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 Terasvirta has had and will continue to have, on the profession.

目次: 

Preface
TESTING FOR LINEARITY AND FUNCTIONAL FORM
1. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions
2. Consistent Testing of Functional Form in Time Series Models
3. Linearity Testing for Trending Data with an Application of the Wild Bootstrap
SMOOTH TRANSITION MODELS
4. Common Non-linearities in Multiple Series of Stock Market Volatility
5. Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data
6. Modelling Time-Varying Volatility in Financial Returns: Evidence from Bond Markets
MODEL SELECTION AND ECONOMETRIC METHODOLOGY
7. Semi-automatic Non-linear Model Selection
8. Fundamental Problems with Nonfundamental Shocks
9. Penalized Estimation of Semi-parametric Additive Time Series Models
10. Oracle Efficient Estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions
APPLIED FINANCIAL ECONOMETRICS
11. Modeling Commodity Prices with Dynamic Conditional Beta
12. Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons
13. Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation
14. Bagging Constrained Equity Premium Predictors

著者について: 

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

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