Nonlinear Time Series Analysis of Economic and Financial Data Book

	Contributing Authors
	Introduction
1	Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches	1
2	A Markov Switching Cookbook	33
3	A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series	45
4	Nonlinear Econometric Modelling: A Selective Review	87
5	Unit-Root Tests and Excess Returns	111
6	On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships	129
7	Stationarity Tests with Multiple Endogenized Breaks	143
8	Nonlinear Evolution in UK Stock Returns and Volume	165
9	Nonlinear Adjustment towards Long-Run Money Demand	179
10	Asymmetric Nonlinear Smooth Transition Garch Models	191
11	Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching	209
12	Business Cycle Dynamics: Predicting Transitions with Macrovariables	231
13	Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model	267
14	Improved Testing and Specification of Smooth Transition Regression Models	289
15	Speculative Behavior, Regime-Switching, and Stock Market Crashes	321
16	Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test	357
	Index	369