James Hamilton, University of California, San Diego
"A Parametric Maximum Likelihood Approach to Flexible Nonlinear Inference"
Work in progress; no e-version is available.

James Hamilton, University of California, San Diego
"Modeling Time Series with Changes in Regime (An Introductory Survey)"
Reference: James Hamilton, Time Series Analysis, Ch. 22, 1994.

Rob Engle, University of California, San Diego (with Jeff Russell),
"Econometric Analysis of Discrete Valued, Irregularly Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Logit Model" [Abstract] [Postscript] [PDF]

Ying-cun Xia, University of Hong Kong (with H. Tong and W.K. Li),
"Single-index Diffusion Models and Their Estimation" [Postscript] [PDF]

Christian Dahl, University of Aarhuus
"An Investigation of Tests for Linearity and the Accuracy of Flexible Nonlinear Inference" [Postscript] [PDF]

James Hamilton and Christian Dahl,
Graduate student computer lab on numerical optimization, regime-switching models, and flexible nonlinear inference. A zipped archive of the programs and data sets used in the computer lab is available for downloading.

Aaron Smith, University of San Diego (with Rob Engle),
"Stochastic Permanent Breaks" [ Abstract] [Postscript] [PDF]

Peter Bickel, University of California, Berkeley
"Testing Semiparametric Hypotheses in the Context of Time Series."
Abstract [ascii] Related paper, "Testing and the Method of Sieves," with Y. Ritov and T. Stoker [Postscript] [PDF]

Mike West, Duke University
"Bayesian Time Series Modelling, Decomposition and Latent Structure Analysis". Related paper for background reading available, "Bayesian Inference on Latent Structure in Time Series," by Omar Aguilar, Gabriel Huerta, Raquel Prado, and Mike West.. [Abstract] [Postscript] [PDF]

Rainer Dahlhaus, University of Heidelberg
"The Estimation of Parameter Curves for Locally Stationary Processes"
Abstract [Postscript] [PDF]
Slides [Postscript] [PDF]

Peter Buhlman, Swiss Federal Institute of Technology
"Dynamic Adaptive Partitioning for Nonlinear Time Series" [Postscript] [PDF]

Ruey Tsay, University of Chicago,
"Testing and Modeling Multivariate Threshold Models" [Postscript] [PDF]

Simon Potter, University of California, Los Angeles,
Graduate student lab covering programs that analyze a range of threshold and linear models and use model averaging to produce measures of dynamics and forecasting.
"Nonlinearity, Structural Breaks, or Outliers in Economic Time Series?" with G. Koop, describes the main program that will be used in the computer lab. [Postscript] [PDF]
"Dynamic Asymmetries in U.S. Unemployment", with G. Koop, describes an application. [Postcript] [PDF]
A zipped archive of the lab programs and documentation is available for downloading.

Mike West and Omar Aguilar, Duke University
"Multivariate Non-Gaussian Time Series: Bayesian Analysis of Longitudinal Data in a Case Study in the VA Hospital System". Related papers are available for reading, "Analysis of Hospital Quality Monitors Using Hierarchical Time Series Models," by Omar Aguilar and Mike West [Abstract] [Postscript] [PDF] and "Studies of Quality Monitor Time Series: The VA Hospital System," by Omar Aguilar and Mike West [Abstract] [Postscript] [PDF]

Peter Robinson, London School of Economics, "Nonlinearity and Long Memory Processes."
Work in progress; no e-version available yet.

Simon Potter, University of California, Los Angeles,
"Second Order Properties of Generalized Impulse Response Functions" [Postscript]

Omar Aguilar and Mike West, Duke University, "Bayesian Dynamic Factor Models and Variance Matrix Discounting for Portfolio Allocation" [Abstract] [Postcript] [PDF]

Keh-Shin Lii and Mark Lehr, University of California, Riverside,
Graduate student computer lab on maximum likelihood estimates of non-gaussian ARMA models. A zipped archive of the programs and data sets used in the computer lab is available for downloading. Related paper for students to review: "Maximum Likelihood Estimates of Non-Gaussian ARMA Models," Mark Lehr and Keh-Shin Lii. [Postscript] [PDF]

Atsushi Inoue, University of Pennsylvania,
"A Conditional Goodness-of-Fit Test for Time Series" [Postscript] [PDF]

Keh-Shin Lii and Mohamed Hassan,
"Modeling Marked Point Processes with Application to Financial Data"
Work in progress; no e-version is available.

Sam Thompson, University of California, Berkeley
"An LAD-based Unit Root Test"