Recent Advances in Estimating Nonlinear Models : With Applications in Economics and Finance

Chapter 1 Stock Return and Inflation: An Analysis Based on the State-Space Framework -- Chapter 2 Diffusion Index Model Specification and Estimation: Using Mixed Frequency Datasets -- Chapter 3 Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks -- Chapter 4 On the Use of the Flexible Fourier Form in Unit Roots Tests, Endogenous Breaks, and Parameter Instability -- Chapter 5 Testing for a Markov-Switching Mean in Serially-Correlated Data -- Chapter 6 Nonlinear Time Series Models and Model Selection -- Chapter 7 Nonstationarities and Markov Switching Models -- Chapter 8 Has Wealth Effect Changed Over Time? Evidence from Four Industrial Countries -- Chapter 9 A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Times Series Models -- Chapter 10 Small Area Estimation with Correctly Specified Linking Models -- Chapter 11 Forecasting Stock Returns: Does Switching between Models Help? -- Chapter 12 The Global Joint Distribution of Income and Health.