1. Nonlinearity in Stochastic Processes: What it Is and Why it Matters.- 2. Detecting Nonlinear Serial Dependence.- 3. How to Run the Toolkit Program on a PC.- 4. Artificially Generated Data: Size Considerations.- 5. Artificially Generated Data: Power And Model Specification Considerations.- 6. Analysis of Stock Market Returns.- 7. Glint Tracking Errors in Radar.- 8. Seismic Data.- 9. Analysis of U.S. Real GNP.- 10. Dynamic Structure of Macroeconomic Technology Shocks.- 11. Climatological Data.