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下载 Nonlinear Time Series - Semiparametric and Nonparametric Methods - J. Gao (CRC, 2007) WW
Contents
Preface v
1 Introduction 1
1.1 Preliminaries 1
1.2 Examples and models 1
1.3 Bibliographical notes 14
2 Estimation in Nonlinear Time Series 15
2.1 Introduction 15
2.2 Semiparametric series estimation 18
2.3 Semiparametric kernel estimation 26
2.4 Semiparametric single–index estimation 35
2.5 Technical notes 39
2.6 Bibliographical notes 47
3 Nonlinear Time Series Specification 49
3.1 Introduction 49
3.2 Testing for parametric mean models 50
3.3 Testing for semiparametric variance models 65
3.4 Testing for other semiparametric models 68
3.5 Technical notes 72
3.6 Bibliographical notes 80
iii
© 2007 by Taylor & Francis Group, LLC
iv CONTENTS
4 Model Selection in Nonlinear Time Series 83
4.1 Introduction 83
4.2 Semiparametric cross–validation method 86
4.3 Semiparametric penalty function method 92
4.4 Examples and applications 95
4.5 Technical notes 105
4.6 Bibliographical notes 110
5 Continuous–Time Diffusion Models 111
5.1 Introduction 111
5.2 Nonparametric and semiparametric estimation 116
5.3 Semiparametric specification 123
5.4 Empirical comparisons 130
5.5 Technical notes 146
5.6 Bibliographical notes 156
6 Long–Range Dependent Time Series 157
6.1 Introductory results 157
6.2 Gaussian semiparametric estimation 159
6.3 Simultaneous semiparametric estimation 161
6.4 LRD stochastic volatility models 169
6.5 Technical notes 189
6.6 Bibliographical notes 191
7 Appendix 193
7.1 Technical lemmas 193
7.2 Asymptotic normality and expansions 198
References 209
Author Index 230
Subject Index 235
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