Nonlinear Dynamical Methods and Time Series Analysis
Introduction
On August 30 - September 1, 2006, the University of Udine, Italy, hosted a workshop on "Nonlinear Dynamical Methods and Time Series Analysis". This meeting brought together a selected group of researchers interested in the application of nonlinear methods to the analysis of economic and financial data, including Howell Tong and Timo Teräsvirta, two of the leading experts in the area. This special issue, with guest editors Sebastiano Manzan, Alfredo Medio, and Dick van Dijk, offers a selection of the papers presented during the workshop.Articles
Modelling Autoregressive Processes with a Shifting Mean
Andrés González and Timo Teräsvirta
Rank-based Entropy Tests for Serial Independence
Cees Diks and Valentyn Panchenko
Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
Mohitosh Kejriwal
Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series
Dimitris Kugiumtzis
Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem
Dietmar G. Maringer and Mark Meyer
Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
Travis D. Nesmith and Barry E. Jones