Introduction

This monograph basically discusses semiparametric methods in model estimation, specification testing and selection of nonlinear time series data. We use the term semiparametric for models which are semiparametric partially linear models or other semiparametric regression models as discussed in Chapters 2-6, in particular Chapters 2 and 5. We also use the word semiparametric for methods which are semiparametric estimation and testing methods as discussed in Chapters 2-6, particularly in Chapters 3 and 6. Meanwhile, we also use the term nonparametric for models and methods which are either nonparametric models or nonparametric methods or both as considered in Chapters 2-5.