Book 2014

Recent Advances in Estimating Nonlinear Models

With Applications in Economics and Finance

Editors:

ISBN: 978-1-4614-8059-4 (Print) 978-1-4614-8060-0 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages i-xvi

  2. No Access

    Chapter

    Pages 1-13

    Stock Return and Inflation: An Analysis Based on the State-Space Framework

  3. No Access

    Chapter

    Pages 15-31

    Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets

  4. No Access

    Chapter

    Pages 33-57

    Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks

  5. No Access

    Chapter

    Pages 59-83

    On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability

  6. No Access

    Chapter

    Pages 85-97

    Testing for a Markov-Switching Mean in Serially Correlated Data

  7. No Access

    Chapter

    Pages 99-121

    Nonlinear Time Series Models and Model Selection

  8. No Access

    Chapter

    Pages 123-146

    Nonstationarities and Markov Switching Models

  9. No Access

    Chapter

    Pages 147-168

    Has Wealth Effect Changed Over Time? Evidence from Four Industrial Countries

  10. No Access

    Chapter

    Pages 169-191

    A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models

  11. No Access

    Chapter

    Pages 193-228

    Small Area Estimation with Correctly Specified Linking Models

  12. No Access

    Chapter

    Pages 229-248

    Forecasting Stock Returns: Does Switching Between Models Help?

  13. No Access

    Chapter

    Pages 249-279

    The Global Joint Distribution of Income and Health

  14. No Access

    Chapter

    Pages 281-299

    The Non-linear and Linear Impact of Investor Sentiment on Stock Returns: An Empirical Analysis of the US Market