Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully

Introduction. Estimation in Nonlinear Time Series. Nonlinear Time Series Specification. Model Selection in Nonlinear Time Series. Continuous-Time Diffusion Models. Long-Range Dependent Time Series. Appendix. References. Indices.