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Dynamic Modeling and Econometrics in Economics and Finance Ser.: A Nonlinear Time Series Workshop : A Toolkit for Detecting and Identifying Nonlinear Serial Dependence by Richard A. Ashley and Douglas M. Patterson (1999, Hardcover)

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Number of Pages: 201. Author: Patterson, Douglas M. (Author), Ashley, Richard A. (Author). Weight: 1.08 lbs. Publication Date: 1999-10-31. Publisher: Springer.

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The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor, sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.

Product Identifiers

Publisher
Springer
ISBN-10
0792386744
ISBN-13
9780792386742
eBay Product ID (ePID)
1653792

Product Key Features

Author
Richard A. Ashley, Douglas M. Patterson
Publication Name
Nonlinear Time Series Workshop : a Toolkit for Detecting and Identifying Nonlinear Serial Dependence
Format
Hardcover
Language
English
Series
Dynamic Modeling and Econometrics in Economics and Finance Ser.
Publication Year
1999
Type
Textbook
Number of Pages
IX, 201 Pages

Dimensions

Item Length
9.3in
Item Width
6.1in
Item Weight
38.1 Oz

Additional Product Features

Series Volume Number
2
Number of Volumes
1 Vol.
Lc Classification Number
Hb139-141
Table of Content
1. Nonlinearity in Stochastic Processes: What it Is and Why it Matters.- 2. Detecting Nonlinear Serial Dependence.- 3. How to Run the Toolkit Program on a PC.- 4. Artificially Generated Data: Size Considerations.- 5. Artificially Generated Data: Power And Model Specification Considerations.- 6. Analysis of Stock Market Returns.- 7. Glint Tracking Errors in Radar.- 8. Seismic Data.- 9. Analysis of U.S. Real GNP.- 10. Dynamic Structure of Macroeconomic Technology Shocks.- 11. Climatological Data.
Copyright Date
2000
Topic
Economics / Microeconomics, Probability & Statistics / Time Series, Econometrics
Lccn
99-046691
Dewey Decimal
330/.01/519232
Intended Audience
Scholarly & Professional
Dewey Edition
21
Illustrated
Yes
Genre
Business & Economics, Mathematics

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Dynamic Modeling and Econometrics in Economics and Finance Ser.: A Nonlinear Time Series Workshop : A Toolkit for Detecting and Identifying Nonlinear Serial Dependence by Richard A. Ashley and Douglas M. Patterson (1999, Hardcover)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

All listings for this product

item 1 A Nonlinear Time Series Workshop: A Toolkit For Detecting And Identifying N...

item 2 A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlin

Best Selling in Textbooks

Desk Reference to the Diagnostic Criteria from DSM-5-TR by American Psychiatric Association (2022, Trade Paperback)

Diagnostic and Statistical Manual of Mental Disorders DSM-5-TR by American Psychiatric Association (2022, Trade Paperback)

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Leadership : Theory and Practice by Peter G. Northouse (2021, Trade Paperback, Revised edition)

Self Heal by Design : The Role of Micro-organisms for Health by Barbara O'Neill (2018, Trade Paperback)

Applications of Motivational Interviewing Ser.: Motivational Interviewing : Helping People Change and Grow by Stephen Rollnick and William R. Miller (2023, Hardcover)

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