Modelling Nonlinear Economic Relationships Book

1	Basic Concepts	1
1.1	General Introduction	1
1.2	Linear Models	3
1.3	Some Univariate Nonlinear Models	5
1.4	Nonlinearity and Heteroskedasticity	7
1.5	Stationarity and Invertibility	9
1.6	Stability, Memory, and Equilibrium	11
2	General Models and Tools for Analysis	15
2.1	Some General Nolinear Models	15
2.2	Frequency Domain Analysis	19
2.3	Tools of Analysis	22
3	Nonlinear Models in Economic Theory	28
3.1	Some Suggested Nonlinear Models	28
3.2	Bifurcation and Catastrophe	31
3.3	Chaos	33
4	Particular Nonlinear Multivariate Models	37
4.1	Nonlinear Autoregressive and Regression Models	37
4.2	Smooth Transition Regression Models	39
4.3	Bilinear Models	42
4.4	Nonlinear Moving-Average Models	44
4.5	Heteroskedasticity and Random Coefficient Models	45
5	Long-Memory Models	48
5.1	Integrated Series	48
5.2	Long-Memory and Nonlinearity	51
5.3	Attractors	53
5.4	Estimation and Testing for Attractors	57
5.5	Nonlinear Error-Correction Models	59
5.6	Modelling Implications	60
6	Linearity Testing	62
6.1	Lagrange Multiplier Tests	63
6.2	Applications of Lagrange Multiplier Tests	70
6.3	Testing Linearity against an Unspecified Alternative	76
6.4	Testing Constant Conditional Variance against Conditional Heteroskedasticity	91
6.5	Locally Equivalent Alternatives	94
6.6	Comparing Linearity Tests using Asymptotic Relative Efficiency	96
6.7	Which Test to Use?	101
7	Building Nonlinear Models	103
7.1	Introduction	103
7.2	Nonparametric and Semiparametric Models	105
7.3	Specification of Parametric (STR) Models	113
7.4	Estimation of STR Models	121
7.5	Specification and Estimation of Bilinear Models	124
7.6	Estimation of Neural Network Models	125
7.7	Evaluation of Estimated Nonlinear Models	127
8	Forecasting, Aggregation, and Nonsymmetry	130
8.1	Forecasting from Nonlinear Models	130
8.2	The Effects of Aggregation and Nonlinearity	135
8.3	Business Cycle Asymmetries and Other Nonlinearities	141
9	Applications	148
9.1	Modelling Industrial Production	148
9.2	Nonlinear Relationships between US GNP and Leading Indicators	161
9.3	Conclusions	164
10	Strategies for Nonlinear Modelling	165
	References	168
	Index	181