Nonlinear Econometric Modeling in Time Series

• Series editor's preface; Contributors; 1. Introduction and overview William A. Barnett, David F. Hendry, Svend Hylleberg, Timo Teräsvirta, Dag Tjøstheim and Allan Würtz; 2. Time series cointegration tests and non-linearity William A. Barnett, Barry E. Jones and Travis D. Nesmith; 3. Risk-related asymmetries in foreign exchange markets Giampiero M. Gallo and Barbara Pacini; 4. Nonlinearity, structural breaks or outliers in economic time series? Gary Koop and Simon Potter; 5. Bayesian analysis of nonlinear time series models with a threshold Michael Lubrano; 6. Nonlinear time series models: consistency and asymptotic normality of NLS under new conditions Santiago Miro and Alvaro Escribano; 7. Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes Pentti Saikkonen and Helmut Lütkepohl; 8. Nonlinear error-correction models for interest rates in the Netherlands Dick van Dijk and Philip Hans Franses.

'The amount of research activity devoted to nonlinear time series modeling has virtually exploded during the past decade. Many of the techniques just recently developed in that literature have already been included in the standard toolbox by macroeconomists and finance practitioners working in the public and private sectors. This latest volume in the International Symposia in Economic Theory and Econometrics series brings together a collection of new papers in this active and exciting area of research. The topics and methodologies are wide ranging, but each of the chapters is well motivated by a genuine, interesting economic problem. A stimulating read.' Tim Bollerslev, Duke University