Nonlinear Time Series Analysis of Economic and Financial Data
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave
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Dynamic Modeling and Econometrics in Economics and Finance VOLUME 1
Series Editors Stefan Mittnik, University ofKiel, Germany Willi Semmler, University ofBielefeld, Germany and New School for Social Research, USA
NON LINEAR TIME SERIES ANALYSIS OF ECONOMIC ANO FINANCIAL DATA
edited by
Philip Rothman East Carolina University
....
"
SPRINGER SCIENCE+BUSINESS MEDIA, LLC
Library of Congress Cataloging-in-Publication Data Nonlinear time series analysis of economic and fmancial data / edited by Philip Rothman. p. cm. - (Dynamic modeling and econometrics in economics and finance ; v. 1) Includes bibliographical references and index. ISBN 978-1-46l3-7334-6 ISBN 978-1-4615-5129-4 (eBook) DOI 10.1007/978-1-4615-5129-4
1. Econometric models. 2. Finance-Econometric models. 3. Time-series analysis. 4. Chaotic behavior in systems. 5. Nonlinear systems. 1. Rothman, Philip. II. Series. HB141.N658 1999 98-45191 330' .01 '5195-dc21 CIP Copyright IC 1999 by Springer Science+Business Media N ew York Origina11y published by Kluwer Academic Publishers, New York in 1999 Softcover reprint of the hardcover 1st edition 1999 AII rights reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, mechanical, photo-copying, recording, or otherwise, without the prior written permission of the publisher, Springer Science+Business Media, LLC.
Printed on acid-free paper.
This book is dedicated to the memory of my father. Murray Rothman, who would have received a great deal ofpleasure in seeing its publication. Philip Rothman
Contents
Contributing Authors
IX
Introduction Philip Rothman
Xl
1 BUSINESS CYCLE TURNING POINTS: TWO EMPIRICAL BUSINESS CYCLE MODEL APPROACHES Andrew J. Filardo and Stephen F. Gordon 2 A MARKOV SWITCHING COOKBOOK Bruce Mizrach and James Watkins
33
3 A REANALYSIS OF THE SPECTRAL PROPERTIES OF SOME ECONOMIC AND FINANCIAL TIME SERIES James B. Ramsey and David J Thomson
45
4 NONLINEAR ECONOMETRIC MODELLING: A SELECTIVE REVIEW Norman R. Swanson and Philip Hans Franses
87
5 UNIT-ROOT TESTS AND EXCESS RETURNS Marie-Josee Godbout and Simon van Norden
111
6 ON THE INHERENT NONLINEARITY OF FREQUENCY DEPENDENT TIME SERIES RELATIONSHIPS Hui Boon Tan and Richard Ashley
129
7 STATIONARITY TESTS WIlli MULTIPLE ENDOGENIZED BREAKS Junsoo Lee
143
Vlll
NONLINEAR TIME SERIES ANALYSIS
8 NONLINEAR EVOLUTION IN UK STOCK RETURNS AND VOLUME Chris Brooks, Melvin J. Hinich, and Michael J. Smith
165
9 NONLINEAR ADJUSTMENT TOWARDS LONG-RUN MONEY DEMAND
Panos Michael, A. Robert Nobay, and David A. Peel
179
10
ASYMMETRIC NONLINEAR SMOOTH TRANSITION GARCH MODELS
Heather MAnderson, Kiseok Nam, and Farshid Vahid
191
11 TESTING THE PRESENT VALUE HYPOTHESIS FROM A VECTOR AUTOREGRESSION WITH STOCHASTIC REGIME SWITCHING
John Drifjill and Martin Sola
209
12 BUSINESS CYCLE DYNAMICS: PREDICTING TRANSITIONS WITH MACROVARlABLES Morten 0. Ravn and Martin Sola
231
13 SEARCHING FOR THE SOURCES OF ARCH BEHAVIOR: TESTING THE MIXTURE OF DISTRIBUTIONS MODEL
