Verfügbarkeit: Nonlinear time series analysis of business cycles

Nonlinear time series analysis of business cycles:

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Bibliographische Detailangaben
Format:	Buch
Sprache:	English
Veröffentlicht:	Amsterdam [u.a.] Elsevier 2007
Ausgabe:	1. ed., transferred to digital print.
Schriftenreihe:	Contributions to economic analysis 276
Schlagworte:	Ökonometrisches Modell Business cycles > Econometric models Econometric models Nonlinear systems Nichtlineare Zeitreihenanalyse Konjunkturzyklus
Online-Zugang:	Publisher description Table of contents only Inhaltsverzeichnis
Beschreibung:	Includes bibliographical references and index
Beschreibung:	XXIV, 435 S. graph. Darst.
ISBN:	9780444518385

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245	1	0	\|a Nonlinear time series analysis of business cycles \|c Costas Milas ; Philip Rothman ; Dick van Dijk
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adam_text	CONTENTS INTRODUCTION IX LIST OF CONTRIBUTORS XXIII CHAPTER 1 DATING BUSINESS CYCLE TURNING POINTS L MARCELLE CHAUVET AND JAMES D. HAMILTON 1. INTRODUCTION 2 2. WHAT CAN WE INFER FROM U.S. GDP GROWTH RATES? 3 3. PARAMETRIC REPRESENTATION 10 4. USING MULTIPLE INDICATORS TO IDENTIFY TURNING POINTS 22 5. EMPIRICAL PERFORMANCE OF THE MONTHLY RECESSION PROBABILITY INDEX 32 6. ALTERNATIVE APPROACHES TO MONTHLY INFERENCE 48 ACKNOWLEDGEMENTS 50 REFERENCES ^ APPENDIX ^3 CHAPTER 2 COMBINING PREDICTORS & COMBINING INFORMATION IN MODELLING: FORECASTING US RECESSION PROBABILITIES AND OUTPUT GROWTH 55 MICHAEL P. CLEMENTS AND ANA BEATRIZ GALVDO 1. INTRODUCTION 5 ^ 2. MODELS AND DATA 58 2.1. LOGIT MODELS 58 2.2. MODELS OF OUTPUT GROWTH 61 2.3. NON-LINEAR MODELS OF OUTPUT GROWTH 62 3. OUT-OF-SAMPLE FORECASTING EXERCISE 63 3.1. FORECAST COMBINATION SCHEMES 63 3.2. FORECAST EVALUATION 63 3.3. EMPIRICAL RESULTS 64 4. CONCLUSIONS 69 ACKNOWLEDGEMENTS 70 REFERENCES 7 ^ XVI CHAPTER 3 THE IMPORTANCE OF NONLINEARITY IN REPRODUCING BUSINESS CYCLE FEATURES 75 JAMES MORLEY AND JEREMY PIGER 1. INTRODUCTION 75 2. AN ALGORITHM FOR ESTABLISHING BUSINESS CYCLE TURNING POINTS 79 3. BUSINESS CYCLE FEATURES IN U.S. REAL GDP DATA 81 4. BUSINESS CYCLE FEATURES IN SIMULATED DATA FROM TIME-SERIES MODELS 83 4.1. MODEL DESCRIPTION AND ESTIMATION 83 4.2. BUSINESS CYCLE FEATURES FROM LINEAR MODELS 87 4.3. BUSINESS CYCLE FEATURES FROM REGIME-SWITCHING MODELS 88 4.4. BUSINESS CYCLE FEATURES AND HETEROSKEDASTICITY 90 5. CONCLUSIONS 92 ACKNOWLEDGEMENTS 93 REFERENCES 93 CHAPTER 4 THE VECTOR FLOOR AND CEILING MODEL 97 GARY KOOP AND SIMON POTTER 1. INTRODUCTION 97 2. A NONLINEAR VAR WITH FLOOR AND CEILING EFFECTS 99 3. EMPIRICAL RESULTS 105 3.1. MODEL COMPARISON RESULTS 106 3.2. A COMPARISON OF BAYESIAN AND CLASSICAL RESULTS 109 4. IMPULSE RESPONSE ANALYSIS 113 5. CONCLUSIONS 118 ACKNOWLEDGEMENTS 118 REFERENCES 119 APPENDIX A: SAMPLE INFORMATION 121 APPENDIX B: BAYESIAN ANALYSIS OF THE VFC MODEL 122 APPENDIX C: CLASSICAL ANALYSIS OF THE VFC MODEL 128 APPENDIX D: FURTHER DETAILS ON IMPULSE RESPONSE ANALYSIS 131 CHAPTER 5 A NEW FRAMEWORK TO ANALYZE BUSINESS CYCLE SYNCHRONIZATION 133 MAXIMO CAMACHO AND GABRIEL PEREZ-QUIROS 1. INTRODUCTION 133 2. A FRAMEWORK TO ANALYZE BUSINESS CYCLE SYNCHRONIZATION 135 2.1. UNIVARIATE MARKOV-SWITCHING APPROACH 135 2.2. MULTIVARIATE MARKOV-SWITCHING APPROACH 136 XVII 3. EMPIRICAL RESULTS 139 3.1. PRELIMINARY ANALYSIS OF DATA J39 3.2. COMPARATIVE ANALYSIS OF BUSINESS CYCLE SYNCHRONIZATION 143 3.3. BUSINESS CYCLE SYNCHRONIZATION ACROSS G7 COUNTRIES 145 4. CONCLUSIONS 14 G ACKNOWLEDGEMENTS J43 REFERENCES 148 CHAPTER 6 NON-LINEARITY AND INSTABILITY IN THE EURO AREA 151 MASSIMILIANO MARCELLINO 1- INTRODUCTION 151 2. THE DATA 153 3. FORECASTING METHODS 154 3.1. LINEAR METHODS 155 3.2. TIME-VARYING METHODS 156 3.3. NON-LINEAR METHODS 156 4. FORECAST EVALUATION 158 5. MEASURING THE EXTENT OF INSTABILITY 163 5.1. INSTABILITY TESTS 163 5.2. FORECAST EVALUATION FOR UNSTABLE SERIES 165 6. FORECASTING INDUSTRIAL PRODUCTION, UNEMPLOYMENT AND INFLATION 168 7. CONCLUSIONS 171 ACKNOWLEDGEMENTS 172 REFERENCES 172 CHAPTER 7 NONLINEAR MODELLING OF AUTOREGRESSIVE STRUCTURAL BREAKS IN SOME US MACROECONOMIC SERIES 1 75 GEORGE KAPETANIOS AND ELIAS TZAVALIS 1- INTRODUCTION 175 2. MODELLING STRUCTURAL BREAKS IN AUTOREGRESSIVE COEFFICIENTS 177 3- A MONTE CARLO STUDY 183 4- EMPIRICAL APPLICATION 184 5. CONCLUSIONS 195 ACKNOWLEDGEMENTS 195 REFERENCES 195 DATA APPENDIX 197 XV111 CHAPTER 8 TREND-CYCLE DECOMPOSITION MODELS WITH SMOOTH-TRANSITION PARAMETERS: EVIDENCE FROM U.S. ECONOMIC TIME SERIES 199 STEM JAN KOOPMAN, KAI MING LEE AND SOON YIP WONG 1. INTRODUCTION 199 2. TREND-CYCLE DECOMPOSITION MODEL 202 2.1. FIXED PARAMETER SPECIFICATION 202 2.2. TIME-VARYING PARAMETER SPECIFICATION 203 3. STATE SPACE REPRESENTATION 205 4. EMPIRICAL EVIDENCE FROM U.S. ECONOMIC TIME SERIES 206 4.1. DATA 206 4.2. BASIC DECOMPOSITIONS 206 4.3. SMOOTH TRANSITIONS OVER TIME 209 5. DISCUSSION AND CONCLUSION 216 REFERENCES 217 APPENDIX 218 CHAPTER 9 MODELING INFLATION AND MONEY DEMAND USING A FOURIER-SERIES APPROXIMATION 221 RALF BECKER, WALTER ENDERS AND STAN HUM 1. INTRODUCTION 222 2. MODELING WITH A FOURIER APPROXIMATION 224 2.1. DEPENDENT ERROR STRUCTURES 228 2.2. POWER 228 3. A STRUCTURAL BREAK IN THE INFLATION RATE 230 4. SELECTING THE OPTIMAL NUMBER OF TERMS IN THE FOURIER EXPANSION 233 5. STRUCTURAL BREAKS IN THE DEMAND FOR MONEY 234 5.1. THE BOOTSTRAP 238 5.2. THE ERROR-CORRECTION MODEL 240 5.3. THE RESTRICTED MODEL 240 5.4. INTEGER FREQUENCIES 241 5.5. MISSING VARIABLES 242 6. CONCLUSIONS 243 ACKNOWLEDGEMENTS 244 REFERENCES 244 XIX CHAPTER 10 RANDOM WALK SMOOTH TRANSITION AUTOREGRESSIVE MODELS 247 HEATHER M. ANDERSON AND CHIN NAM LOW 1. INTRODUCTION 247 2. THE RW-STAR MODEL 249 2.1. THE MODEL 249 3. MODELLING PROCEDURE 251 3.1. PERFORMANCE OF THE NONLINEARITY TESTS 253 4. MODELLING INDUSTRIAL PRODUCTION OF SELECTED OECD COUNTRIES 255 4.1. THE DATA 255 4.2. LINEARITY TESTS 257 4.3. DEVELOPMENT OF BASELINE MODELS 258 4.4. ESTIMATION OF RW-STAR MODELS 261 4.5. FORECAST PERFORMANCE 270 5. CONCLUSIONS 277 ACKNOWLEDGEMENTS 278 REFERENCES 278 APPENDIX : DGPS FOR THE POWER SIMULATIONS 280 CHAPTER 11 NONLINEARITY AND STRUCTURAL CHANGE IN INTEREST RATE REACTION FUNCTIONS FOR THE US, UK AND GERMANY 283 MEH TAP KESRIYELI, DENISE R. O SHORN AND MARIANNE SENSIER 1. INTRODUCTION 283 2. INTEREST RATE MODELS 285 2.1. THE MODELS 285 2.2. SELECTION OF EXPLANATORY AND TRANSITION VARIABLES 288 2.3. SAMPLE PERIODS AND DATA 289 3. RESULTS 292 3.1. LINEAR MODELS 292 3.2. NONLINEAR MODELS 295 4. CONCLUDING REMARKS 302 ACKNOWLEDGEMENTS 303 REFERENCES 303 APPENDIX : MODELLING METHODOLOGY AND ADDITIONAL RESULTS 305 XX CHAPTER 12 STATE ASYMMETRIES IN THE EFFECTS OF MONETARY POLICY SHOCKS ON OUTPUT: SOME NEW EVIDENCE FOR THE EURO-AREA 311 JUAN J. DOLADO AND RAMON MARIA-DOLORES 1. INTRODUCTION 311 2. RELATED LITERATURE 313 3. ESTIMATION OF A MONETARY POLICY REACTION FUNCTION 315 4. MARKOV SWITCHING MODELS FOR REAL OUTPUT GROWTH 320 4.1. EXTENDED MARKOV SWITCHING MODEL INCLUDING INTEREST-RATE SHOCKS 321 5. EFFECTS OF MONETARY POLICY ON STATE SWITCHES 326 6. CONCLUSIONS 328 ACKNOWLEDGEMENTS 329 REFERENCES 329 CHAPTER 13 NON-LINEAR DYNAMICS IN OUTPUT, REAL EXCHANGE RATES AND REAL MONEY BALANCES: NORWAY, 1830-2003 333 Q. FAROOQ AKRAM, OYVIND EITRHEIM AND LUCIO SARNO 1. 2. 3. 4. 5. 6. INTRODUCTION STR MODELS 2.1. TESTING FOR NON-LINEARITY AND ITS FORM 2.2. EVALUATION OF STR MODELS DATA AND ITS PROPERTIES MULTIVARIATE LINEAR MODELS 4.1. LINEAR DYNAMIC MODELS NON-HNEAR CONDITIONAL MODELS 5.1. STR MODELS OF OUTPUT, THE REAL EXCHANGE RATE AND REAL MONEY 5.2. THE STR MODELS 5.3. LSTR MODEL OF OUTPUT 5.4. STR MODEL OF THE REAL EXCHANGE RATE 5.5. LSTR MODEL OF REAL MONEY 5.6. DYNAMICS OF THE LINEAR VERSUS THE NON-LINEAR SYSTEMS OF EQUATIONS CONCLUDING REMARKS ACKNOWLEDGEMENTS REFERENCES APPENDIX : DATA 333 336 337 338 339 347 350 354 355 358 359 362 366 369 371 372 372 376 XXI CHAPTER 14 A PREDICTIVE COMPARISON OF SOME SIMPLE LONG- AND SHORT MEMORY MODELS OF DAILY U.S. STOCK RETURNS, WITH EMPHASIS ON BUSINESS CYCLE EFFECTS 379 GEETESH BHARDWAJ AND NORMAN R. SWANSON 1. INTRODUCTION 379 2. EMPIRICAL METHODS 381 2.1. LONG MEMORY MODEL ESTIMATION 382 2.2. SHORT MEMORY MODELS 386 2.3. NONLINEAR STAR MODELS 387 3. PREDICTIVE ACCURACY TESTING 387 4. PREDICTIVE MODEL SELECTION 390 5. EMPIRICAL RESULTS 391 5.1. S&P500 RETURNS: BUSINESS CYCLE EFFECTS 395 6. CONCLUDING REMARKS 400 ACKNOWLEDGEMENTS 400 REFERENCES 400 CHAPTER 15 NONLINEAR MODELING OF THE CHANGING LAG STRUCTURE IN U.S. HOUSING CONSTRUCTION 407 CHRISTIAN M. DAHL AND TAMER KULAKSIZOGLU 1. INTRODUCTION 407 2. THE DATA 409 3. UNRESTRICTED FINITE DISTRIBUTED LAG MODEL 412 4. THE AUTOREGRESSIVE DISTRIBUTED LAG MODEL 416 5. NONLINEAR AUTOREGRESSIVE DISTRIBUTED LAG MODELS 419 6. CONCLUSIONS 427 ACKNOWLEDGEMENTS 428 REFERENCES 428 SUBJECT INDEX 431
adam_txt	CONTENTS INTRODUCTION IX LIST OF CONTRIBUTORS XXIII CHAPTER 1 DATING BUSINESS CYCLE TURNING POINTS L MARCELLE CHAUVET AND JAMES D. HAMILTON 1. INTRODUCTION 2 2. WHAT CAN WE INFER FROM U.S. GDP GROWTH RATES? 3 3. PARAMETRIC REPRESENTATION 10 4. USING MULTIPLE INDICATORS TO IDENTIFY TURNING POINTS 22 5. EMPIRICAL PERFORMANCE OF THE MONTHLY RECESSION PROBABILITY INDEX 32 6. ALTERNATIVE APPROACHES TO MONTHLY INFERENCE 48 ACKNOWLEDGEMENTS 50 REFERENCES ^' APPENDIX ^3 CHAPTER 2 COMBINING PREDICTORS & COMBINING INFORMATION IN MODELLING: FORECASTING US RECESSION PROBABILITIES AND OUTPUT GROWTH 55 MICHAEL P. CLEMENTS AND ANA BEATRIZ GALVDO 1. INTRODUCTION 5 ^ 2. MODELS AND DATA 58 2.1. LOGIT MODELS 58 2.2. MODELS OF OUTPUT GROWTH 61 2.3. NON-LINEAR MODELS OF OUTPUT GROWTH 62 3. OUT-OF-SAMPLE FORECASTING EXERCISE 63 3.1. FORECAST COMBINATION SCHEMES 63 3.2. FORECAST EVALUATION 63 3.3. EMPIRICAL RESULTS 64 4. CONCLUSIONS 69 ACKNOWLEDGEMENTS 70 REFERENCES 7 ^ XVI CHAPTER 3 THE IMPORTANCE OF NONLINEARITY IN REPRODUCING BUSINESS CYCLE FEATURES 75 JAMES MORLEY AND JEREMY PIGER 1. INTRODUCTION 75 2. AN ALGORITHM FOR ESTABLISHING BUSINESS CYCLE TURNING POINTS 79 3. BUSINESS CYCLE FEATURES IN U.S. REAL GDP DATA 81 4. BUSINESS CYCLE FEATURES IN SIMULATED DATA FROM TIME-SERIES MODELS 83 4.1. MODEL DESCRIPTION AND ESTIMATION 83 4.2. BUSINESS CYCLE FEATURES FROM LINEAR MODELS 87 4.3. BUSINESS CYCLE FEATURES FROM REGIME-SWITCHING MODELS 88 4.4. BUSINESS CYCLE FEATURES AND HETEROSKEDASTICITY 90 5. CONCLUSIONS 92 ACKNOWLEDGEMENTS 93 REFERENCES 93 CHAPTER 4 THE VECTOR FLOOR AND CEILING MODEL 97 GARY KOOP AND SIMON POTTER 1. INTRODUCTION 97 2. A NONLINEAR VAR WITH FLOOR AND CEILING EFFECTS 99 3. EMPIRICAL RESULTS 105 3.1. MODEL COMPARISON RESULTS 106 3.2. A COMPARISON OF BAYESIAN AND CLASSICAL RESULTS 109 4. IMPULSE RESPONSE ANALYSIS 113 5. CONCLUSIONS 118 ACKNOWLEDGEMENTS 118 REFERENCES 119 APPENDIX A: SAMPLE INFORMATION 121 APPENDIX B: BAYESIAN ANALYSIS OF THE VFC MODEL 122 APPENDIX C: CLASSICAL ANALYSIS OF THE VFC MODEL 128 APPENDIX D: FURTHER DETAILS ON IMPULSE RESPONSE ANALYSIS 131 CHAPTER 5 A NEW FRAMEWORK TO ANALYZE BUSINESS CYCLE SYNCHRONIZATION 133 MAXIMO CAMACHO AND GABRIEL PEREZ-QUIROS 1. INTRODUCTION 133 2. A FRAMEWORK TO ANALYZE BUSINESS CYCLE SYNCHRONIZATION 135 2.1. UNIVARIATE MARKOV-SWITCHING APPROACH 135 2.2. MULTIVARIATE MARKOV-SWITCHING APPROACH 136 XVII 3. EMPIRICAL RESULTS 139 3.1. PRELIMINARY ANALYSIS OF DATA J39 3.2. COMPARATIVE ANALYSIS OF BUSINESS CYCLE SYNCHRONIZATION 143 3.3. BUSINESS CYCLE SYNCHRONIZATION ACROSS G7 COUNTRIES 145 4. CONCLUSIONS 14 G ACKNOWLEDGEMENTS J43 REFERENCES 148 CHAPTER 6 NON-LINEARITY AND INSTABILITY IN THE EURO AREA 151 MASSIMILIANO MARCELLINO 1- INTRODUCTION 151 2. THE DATA 153 3. FORECASTING METHODS 154 3.1. LINEAR METHODS 155 3.2. TIME-VARYING METHODS 156 3.3. NON-LINEAR METHODS 156 4. FORECAST EVALUATION 158 5. MEASURING THE EXTENT OF INSTABILITY 163 5.1. INSTABILITY TESTS 163 5.2. FORECAST EVALUATION FOR UNSTABLE SERIES 165 6. FORECASTING INDUSTRIAL PRODUCTION, UNEMPLOYMENT AND INFLATION 168 7. CONCLUSIONS 171 ACKNOWLEDGEMENTS 172 REFERENCES 172 CHAPTER 7 NONLINEAR MODELLING OF AUTOREGRESSIVE STRUCTURAL BREAKS IN SOME US MACROECONOMIC SERIES 1 75 GEORGE KAPETANIOS AND ELIAS TZAVALIS 1- INTRODUCTION 175 2. MODELLING STRUCTURAL BREAKS IN AUTOREGRESSIVE COEFFICIENTS 177 3- A MONTE CARLO STUDY 183 4- EMPIRICAL APPLICATION 184 5. CONCLUSIONS 195 ACKNOWLEDGEMENTS 195 REFERENCES 195 DATA APPENDIX 197 XV111 CHAPTER 8 TREND-CYCLE DECOMPOSITION MODELS WITH SMOOTH-TRANSITION PARAMETERS: EVIDENCE FROM U.S. ECONOMIC TIME SERIES 199 STEM JAN KOOPMAN, KAI MING LEE AND SOON YIP WONG 1. INTRODUCTION 199 2. TREND-CYCLE DECOMPOSITION MODEL 202 2.1. FIXED PARAMETER SPECIFICATION 202 2.2. TIME-VARYING PARAMETER SPECIFICATION 203 3. STATE SPACE REPRESENTATION 205 4. EMPIRICAL EVIDENCE FROM U.S. ECONOMIC TIME SERIES 206 4.1. DATA 206 4.2. BASIC DECOMPOSITIONS 206 4.3. SMOOTH TRANSITIONS OVER TIME 209 5. DISCUSSION AND CONCLUSION 216 REFERENCES 217 APPENDIX 218 CHAPTER 9 MODELING INFLATION AND MONEY DEMAND USING A FOURIER-SERIES APPROXIMATION 221 RALF BECKER, WALTER ENDERS AND STAN HUM 1. INTRODUCTION 222 2. MODELING WITH A FOURIER APPROXIMATION 224 2.1. DEPENDENT ERROR STRUCTURES 228 2.2. POWER 228 3. A STRUCTURAL BREAK IN THE INFLATION RATE 230 4. SELECTING THE OPTIMAL NUMBER OF TERMS IN THE FOURIER EXPANSION 233 5. STRUCTURAL BREAKS IN THE DEMAND FOR MONEY 234 5.1. THE BOOTSTRAP 238 5.2. THE ERROR-CORRECTION MODEL 240 5.3. THE RESTRICTED MODEL 240 5.4. INTEGER FREQUENCIES 241 5.5. MISSING VARIABLES 242 6. CONCLUSIONS 243 ACKNOWLEDGEMENTS 244 REFERENCES 244 XIX CHAPTER 10 RANDOM WALK SMOOTH TRANSITION AUTOREGRESSIVE MODELS 247 HEATHER M. ANDERSON AND CHIN NAM LOW 1. INTRODUCTION 247 2. THE RW-STAR MODEL 249 2.1. THE MODEL 249 3. MODELLING PROCEDURE 251 3.1. PERFORMANCE OF THE NONLINEARITY TESTS 253 4. MODELLING INDUSTRIAL PRODUCTION OF SELECTED OECD COUNTRIES 255 4.1. THE DATA 255 4.2. LINEARITY TESTS 257 4.3. DEVELOPMENT OF BASELINE MODELS 258 4.4. ESTIMATION OF RW-STAR MODELS 261 4.5. FORECAST PERFORMANCE 270 5. CONCLUSIONS 277 ACKNOWLEDGEMENTS 278 REFERENCES 278 APPENDIX : DGPS FOR THE POWER SIMULATIONS 280 CHAPTER 11 NONLINEARITY AND STRUCTURAL CHANGE IN INTEREST RATE REACTION FUNCTIONS FOR THE US, UK AND GERMANY 283 MEH TAP KESRIYELI, DENISE R. O SHORN AND MARIANNE SENSIER 1. INTRODUCTION 283 2. INTEREST RATE MODELS 285 2.1. THE MODELS 285 2.2. SELECTION OF EXPLANATORY AND TRANSITION VARIABLES 288 2.3. SAMPLE PERIODS AND DATA 289 3. RESULTS 292 3.1. LINEAR MODELS 292 3.2. NONLINEAR MODELS 295 4. CONCLUDING REMARKS 302 ACKNOWLEDGEMENTS 303 REFERENCES 303 APPENDIX : MODELLING METHODOLOGY AND ADDITIONAL RESULTS 305 XX CHAPTER 12 STATE ASYMMETRIES IN THE EFFECTS OF MONETARY POLICY SHOCKS ON OUTPUT: SOME NEW EVIDENCE FOR THE EURO-AREA 311 JUAN J. DOLADO AND RAMON MARIA-DOLORES 1. INTRODUCTION 311 2. RELATED LITERATURE 313 3. ESTIMATION OF A MONETARY POLICY REACTION FUNCTION 315 4. MARKOV SWITCHING MODELS FOR REAL OUTPUT GROWTH 320 4.1. EXTENDED MARKOV SWITCHING MODEL INCLUDING INTEREST-RATE SHOCKS 321 5. EFFECTS OF MONETARY POLICY ON STATE SWITCHES 326 6. CONCLUSIONS 328 ACKNOWLEDGEMENTS 329 REFERENCES 329 CHAPTER 13 NON-LINEAR DYNAMICS IN OUTPUT, REAL EXCHANGE RATES AND REAL MONEY BALANCES: NORWAY, 1830-2003 333 Q. FAROOQ AKRAM, OYVIND EITRHEIM AND LUCIO SARNO 1. 2. 3. 4. 5. 6. INTRODUCTION STR MODELS 2.1. TESTING FOR NON-LINEARITY AND ITS FORM 2.2. EVALUATION OF STR MODELS DATA AND ITS PROPERTIES MULTIVARIATE LINEAR MODELS 4.1. LINEAR DYNAMIC MODELS NON-HNEAR CONDITIONAL MODELS 5.1. STR MODELS OF OUTPUT, THE REAL EXCHANGE RATE AND REAL MONEY 5.2. THE STR MODELS 5.3. LSTR MODEL OF OUTPUT 5.4. STR MODEL OF THE REAL EXCHANGE RATE 5.5. LSTR MODEL OF REAL MONEY 5.6. DYNAMICS OF THE LINEAR VERSUS THE NON-LINEAR SYSTEMS OF EQUATIONS CONCLUDING REMARKS ACKNOWLEDGEMENTS REFERENCES APPENDIX : DATA 333 336 337 338 339 347 350 354 355 358 359 362 366 369 371 372 372 376 XXI CHAPTER 14 A PREDICTIVE COMPARISON OF SOME SIMPLE LONG- AND SHORT MEMORY MODELS OF DAILY U.S. STOCK RETURNS, WITH EMPHASIS ON BUSINESS CYCLE EFFECTS 379 GEETESH BHARDWAJ AND NORMAN R. SWANSON 1. INTRODUCTION 379 2. EMPIRICAL METHODS 381 2.1. LONG MEMORY MODEL ESTIMATION 382 2.2. SHORT MEMORY MODELS 386 2.3. NONLINEAR STAR MODELS 387 3. PREDICTIVE ACCURACY TESTING 387 4. PREDICTIVE MODEL SELECTION 390 5. EMPIRICAL RESULTS 391 5.1. S&P500 RETURNS: BUSINESS CYCLE EFFECTS 395 6. CONCLUDING REMARKS 400 ACKNOWLEDGEMENTS 400 REFERENCES 400 CHAPTER 15 NONLINEAR MODELING OF THE CHANGING LAG STRUCTURE IN U.S. HOUSING CONSTRUCTION 407 CHRISTIAN M. DAHL AND TAMER KULAKSIZOGLU 1. INTRODUCTION 407 2. THE DATA 409 3. UNRESTRICTED FINITE DISTRIBUTED LAG MODEL 412 4. THE AUTOREGRESSIVE DISTRIBUTED LAG MODEL 416 5. NONLINEAR AUTOREGRESSIVE DISTRIBUTED LAG MODELS 419 6. CONCLUSIONS 427 ACKNOWLEDGEMENTS 428 REFERENCES 428 SUBJECT INDEX 431
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illustrated	Illustrated
index_date	2024-07-02T18:06:37Z
indexdate	2024-07-09T20:59:37Z
institution	BVB
isbn	9780444518385
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-015737742
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physical	XXIV, 435 S. graph. Darst.
publishDate	2007
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series	Contributions to economic analysis
series2	Contributions to economic analysis
spelling	Nonlinear time series analysis of business cycles Costas Milas ; Philip Rothman ; Dick van Dijk 1. ed., transferred to digital print. Amsterdam [u.a.] Elsevier 2007 XXIV, 435 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to economic analysis 276 Includes bibliographical references and index Ökonometrisches Modell Business cycles Econometric models Econometric models Nonlinear systems Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 s Konjunkturzyklus (DE-588)4032134-4 s DE-604 Milas, Costas Sonstige oth Rothman, Philip Sonstige oth Dijk, Dick van 1971- Sonstige (DE-588)132368846 oth Contributions to economic analysis 276 (DE-604)BV000001445 276 http://www.loc.gov/catdir/enhancements/fy0626/2005056288-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0626/2005056288-t.html Table of contents only SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015737742&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Nonlinear time series analysis of business cycles Contributions to economic analysis Ökonometrisches Modell Business cycles Econometric models Econometric models Nonlinear systems Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Konjunkturzyklus (DE-588)4032134-4 gnd
subject_GND	(DE-588)4276267-4 (DE-588)4032134-4
title	Nonlinear time series analysis of business cycles
title_auth	Nonlinear time series analysis of business cycles
title_exact_search	Nonlinear time series analysis of business cycles
title_exact_search_txtP	Nonlinear time series analysis of business cycles
title_full	Nonlinear time series analysis of business cycles Costas Milas ; Philip Rothman ; Dick van Dijk
title_fullStr	Nonlinear time series analysis of business cycles Costas Milas ; Philip Rothman ; Dick van Dijk
title_full_unstemmed	Nonlinear time series analysis of business cycles Costas Milas ; Philip Rothman ; Dick van Dijk
title_short	Nonlinear time series analysis of business cycles
title_sort	nonlinear time series analysis of business cycles
topic	Ökonometrisches Modell Business cycles Econometric models Econometric models Nonlinear systems Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Konjunkturzyklus (DE-588)4032134-4 gnd
topic_facet	Ökonometrisches Modell Business cycles Econometric models Econometric models Nonlinear systems Nichtlineare Zeitreihenanalyse Konjunkturzyklus
url	http://www.loc.gov/catdir/enhancements/fy0626/2005056288-d.html http://www.loc.gov/catdir/enhancements/fy0626/2005056288-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015737742&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV000001445
work_keys_str_mv	AT milascostas nonlineartimeseriesanalysisofbusinesscycles AT rothmanphilip nonlineartimeseriesanalysisofbusinesscycles AT dijkdickvan nonlineartimeseriesanalysisofbusinesscycles

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