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A Nonlinear Time Series Workshop - A Toolkit For Detecting And Identifying Nonlinear Serial (dynamic Modeling And Econometrics In Economics And) (dynamic ... And Econometrics In Economics And Finance)

A Nonlinear Time Series Workshop - A Toolkit For Detecting And Identifying Nonlinear Serial (dynamic Modeling And Econometrics In Economics And) (dynamic ... And Econometrics In Economics And Finance)

A Nonlinear Time Series Workshop - A Toolkit For Detecting And Identifying
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A Nonlinear Time Series Workshop - A Toolkit For Detecting And Identifying Nonlinear Serial (dynamic Modeling And Econometrics In Economics And) (dynamic ... And Econometrics In Economics And Finance) Hardback - 1999

by Douglas M. Patterson , Richard A. Ashley,

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Kap, 1999. 1st. Hardcover. New.
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From the publisher

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.

First line

Our purpose in writing this book is to make available a "nonlinearity toolkit" which provides the time series community with convenient, consistent access to a selection of the best tools available for statistically detecting nonlinearity in the generating mechanism of a given time series.

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Citations

  • Reference and Research Bk News, 11/01/2000, Page 56

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