A nonlinear time series workshop. A toolkit for detecting and identifying nonlinear serial dependence

zbMath0962.62079MaRDI QIDQ5934084

Douglas M. Patterson, Richard A. Ashley

Publication date: 18 June 2001

Published in: Dynamic Modeling and Econometrics in Economics and Finance (Search for Journal in Brave)

zbMATH Keywords

Nonlinear time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics in engineering and industry; control charts (62P30) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Geostatistics (86A32)

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A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process ⋮ On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability ⋮ Detecting and modeling nonlinearity in the gas furnace data ⋮ A New Bispectral Test for NonLinear Serial Dependence ⋮ Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model

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