104 datasets found

The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for...

In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts...

Cross-country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in...

Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analysed for statistical similarity in order...

This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known...

Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with...

In this paper we reconsider an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non-linear in both variables and parameters, and...

There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit-root and trend-reverting...

The argument that is put forward in this paper is that failure to represent stochastic trend and stochastic seasonality in an AIDS model leads to a misspecified and possibly...

A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond...

In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models....

This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration,...

This paper considers the issue of testing for symmetry of the business cycle. It is demonstrated that findings of symmetry should be interpreted with caution since tests tend to...

Convergence in the gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved...

A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the...

Recent research has found that trend-break unit root tests derived from univariate linear models do not support the hypothesis of long-run purchasing power parity (PPP) for US...

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of...

This paper presents a new nonlinear time series model that captures a post-recession bounce-back in the level of aggregate output. While a number of studies have examined this...

In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time...

This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that...