Essays in Nonlinear Time Series Econometrics
Essays in Nonlinear Time Series Econometrics
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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 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 the 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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Front Matter
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Part I Testing for Linearity and Functional Form
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1
Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions
Jin Seo Cho and others
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2
Consistent Testing of Functional Form in Time Series Models
James Davidson andAndreea G. Halunga
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3
Linearity Testing for Trending Data with an Application of the Wild Bootstrap
Robinson Kruse andRickard Sandberg
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1
Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions
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Part II Smooth Transition Models
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4
Common Nonlinearities in Multiple Series of Stock Market Volatility
Heather M. Anderson andFarshid Vahid
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5
Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data
KatarinaM Juselius andMikael Juselius
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6
Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets
Cristina Amado andHelinä Laakkonen
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4
Common Nonlinearities in Multiple Series of Stock Market Volatility
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Part III Model Selection and Econometric Methodology
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7
Semi-Automatic Nonlinear Model Selection
Jennifer L. Castle andDavid F. Hendry
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8
Fundamental Problems with Nonfundamental Shocks
Helmut Lütkepohl
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9
Penalized Estimation of Semi-Parametric Additive Time-Series Models
Marcelo C. Medeiros andEduardo F. Mendes
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10
Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions
Laurent A.F. Callot andAnders Bredahl Kock
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7
Semi-Automatic Nonlinear Model Selection
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Part IV Applied Financial Econometrics
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11
Modeling Commodity Prices with Dynamic Conditional Beta
Robert Engle
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12
Bias and Uncertainty in Analyst Earnings Expectations at Different Forecast Horizons
Marco Aiolfi and others
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13
Asymmetric Dependence Patterns in Financial Returns: An Empirical Investigation Using Local Gaussian Correlation
Bård Støve andDag Tjøstheim
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14
Bagging Constrained Equity Premium Predictors
Eric Hillebrand and others
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11
Modeling Commodity Prices with Dynamic Conditional Beta
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End Matter
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