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Essays in Nonlinear Time Series Econometrics
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Essays in Nonlinear Time Series Econometrics

Niels Haldrup, Mika Meitz, and Pentti Saikkonen

Abstract

This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered several eminent time series econometricians to celebrate the work and outstanding career of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The book is divided into four broad themes that all reflect Timo Teräsvirta’s work and methodology: testing for linearity and functional form, specification testing and estimation of nonlinear time series ... More

Keywords: neglected nonlinearity, neural network models, time-varying GARCH model, smooth transition models, STAR, common factors, high-dimensional data analysis, commodity price modeling, financial forecasting, asymmetric loss function, local Gaussian correlation, bootstrap aggregation

Bibliographic Information

Print publication date: 2014 Print ISBN-13: 9780199679959
Published to Oxford Scholarship Online: August 2014 DOI:10.1093/acprof:oso/9780199679959.001.0001

Authors

Affiliations are at time of print publication.

Niels Haldrup, editor
Professor of Economics, Aarhus University

Mika Meitz, editor
Assistant Professor of Economics, University of Helsinki

Pentti Saikkonen, editor
Professor of Statistics, University of Helsinki

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Contents

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Part I Testing for Linearity and Functional Form

2 Consistent Testing of Functional Form in Time Series Models

James Davidson and Andreea G. Halunga1

Part IISmooth Transition Models

Part III Model Selection and Econometric Methodology

7 Semi-Automatic Nonlinear Model Selection

Castle Jennifer L. and David F. Hendry1

Part IV Applied Financial Econometrics

14 Bagging Constrained Equity Premium Predictors

Eric Hillebrand Tae-Hwy Lee and Marcelo C. Medeiros1