Nonlinear time series analysis of business cycles

The business cycle has long been the focus of empirical economic research. Until recently statistical analysis of macroeconomic fluctuations was dominated by linear time series methods. Over the past 15 years, however, economists have increasingly applied tractable parametric nonlinear time series m...

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Bibliographic Details
Main Author Dijk, Dick van
Other Authors Milas, Costas, Rothman, Philip
Format eBook
LanguageEnglish
Published Boston : Elsevier, c2006.
Edition1st ed.
SeriesContributions to economic analysis ; v. 276.
Subjects
Business cycles > Econometric models.
Econometric models.
Nonlinear systems.
elektronické knihy
electronic books
Online AccessFull text
ISBN9780444518385
044451838X
9781849508339
ISSN0573-8555 ;
Physical Description1 online zdroj (xxiv, 435 p.).

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Table of Contents:
  • Dating business cycle turning points / Marcelle Chauvet, James D. Hamilton
  • A new framework to analyze business cycle synchronization / Jeffrey A. Modisett, Judge David J. Dreyer
  • Non-linearity and instability in the Euro area / Massimiliano Marcellino
  • Nonlinear modelling of autoregressive structural breaks in some US macroeconomic series / George Kapetanios, Elias Tzavalis
  • Trend-cycle decomposition models with smooth-transition parameters : evidence from U.S. economic time series / Siem Jan Koopman, Soon Yip Wong, David E. Wildasin
  • Modeling inflation and money demand using a fourier-series approximation / Ralf Becker, Stan Hurn
  • Random walk smooth transition autoregressive models / Heather M. Anderson, Chin Nam Low
  • Nonlinearity and structural change in interest rate reaction functions for the US, UK and Germany / Mehtap Kesriyeli, Denise R. Osborn
  • State asymmetries in the effects of monetary policy shocks on output : some new evidence for the Euro-Area / Juan J. Dolado, Ramon Maria-Dolores
  • Non-linear dynamics in output, real exchange rates and real money balances : Norway, 1830-2003 / Q.Farooq Akram, Øyvind Eitrheim, Lucio Sarno
  • A predictive comparison of some simple long- and short memory models of daily U.S. stock returns, with emphasis on business cycle effects / Geetesh Bhardwaj, Norman R. Swanson
  • Nonlinear modeling of the changing lag structure in U.S. housing construction / Christian M. Dahl, Tamer Kulaksizoglu
  • Combining predictors and combining information in modelling : forecasting US recession probabilities and output growth / Michael P. Clements, Ana Beatriz Galvao
  • The importance of nonlinearity in reproducing business cycle features / James Morley, Jeremy Piger
  • The vector floor and ceiling model / Gary Koop, Simon Potter.

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