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Citations of
Chung-Ming Kuan

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Yi-Ting Chen & Chung-Ming Kuan, 2000. "The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1723, Econometric Society. [Downloadable!]
    Published as:

    Cited by:

    1. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    2. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation, Yale University. [Downloadable!]
    3. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
    4. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]

  2. Chung-Ming Kuan & Kurt Hornik & Halbert White, 1993. "A Convergence Result for Learning in Recurrent Neural Networks," University of California at San Diego, Economics Working Paper Series 90-42r, Department of Economics, UC San Diego.

    Cited by:

    1. Shiyi Chen & Kiho Jeong & Wolfgang K. Härdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  3. Chu, C.S.J. & Hornik, K. & Kuan, C.M., 1993. "Mosum Tests for Parameter Constancy," Papers 9319, Southern California - Department of Economics.

    Cited by:

    1. Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    2. Ai Deng & Pierre Perron, 2007. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change," Boston University - Department of Economics - Working Papers Series WP2007-019, Boston University - Department of Economics. [Downloadable!]
      Other versions:

  4. Chung-Ming Kuan & Halbert White, 1992. "Artificial Neural Networks: An Econometric Perspective," University of California at San Diego, Economics Working Paper Series 92-11, Department of Economics, UC San Diego.
    Published as:

    Cited by:

    1. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, EconWPA, revised 01 Mar 2004. [Downloadable!]
    2. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society. [Downloadable!]
    3. Renaud Caulet & Anne Peguin-feissolle, 2000. "Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels," Annales d'Economie et de Statistique, ADRES, issue 59, pages 09, Juillet-S. [Downloadable!]
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    4. Andreas Gottschling & Christian Haefke & Halbert White, 1999. "Closed Form Integration of Artificial Neural Networks with Some Applications to Finance," University of California at San Diego, Economics Working Paper Series 1999-24, Department of Economics, UC San Diego. [Downloadable!]
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    5. Xiaohong Chen & Halbert White, 2002. "Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space," University of California at San Diego, Economics Working Paper Series 2002-07, Department of Economics, UC San Diego. [Downloadable!]
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    6. Tkacz, Greg & Hu, Sarah, 1999. "Forecasting GDP Growth Using Artificial Neural Networks," Working Papers 99-3, Bank of Canada. [Downloadable!]
    7. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society. [Downloadable!]
    8. D.J.C. van Dijk & P.H.B.F. Franses & H.P. Boswijk, 2000. "Asymmetric and common absorption of shocks in nonlinear autoregressive models," Econometric Institute Report 184, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    9. John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]
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    10. Dilip M. Nachane & Jose G. Clavel, 2005. "Forecasting interest rates: A Comparative assessment of some second generation non-linear model," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2005-009, Indira Gandhi Institute of Development Research, Mumbai, India. [Downloadable!]
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    11. Heinemann, Maik, 1997. "Convergence of Adaptive Learning and the Concept of Expectational Stability in Linear Rational Expectations Models with Multiple Equilibria," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-207, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    12. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer, vol. 21(3), pages 257-276, June. [Downloadable!] (restricted)
    13. Erik Bergkvist, 2001. "The value of time and forecasting of flowsin freight transportation," ERSA conference papers ersa01p271, European Regional Science Association. [Downloadable!]
    14. Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers 0406, Florida International University, Department of Economics. [Downloadable!]
    15. Atanas Christev, 2007. "Learning Hyperinflations," Money Macro and Finance (MMF) Research Group Conference 2006 126, Money Macro and Finance Research Group. [Downloadable!]
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    16. F. Gonzalez Miranda, N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," European Journal of Finance, Taylor and Francis Journals, vol. 3(2), pages 137-157, June. [Downloadable!] (restricted)
    17. Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108. [Downloadable!]
    18. Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    19. Jason Barr & Francesco Saraceno, 2005. "Modeling the Firm as an Artificial Neural Network," Working Papers Rutgers University, Newark 2005-011, Department of Economics, Rutgers University, Newark. [Downloadable!]
    20. Christian A. Johnson, 2005. "Modelos de alerta temprana para pronosticar crisis bancarias: desde la extracción de señales a las redes neuronales," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 20(1), pages 95-121, June. [Downloadable!]
    21. Norman R. Swanson & Halbert White, 1995. "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Macroeconomics 9503004, EconWPA. [Downloadable!]
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    22. Mariano Matilla-García & Carlos Argüello, 2005. "A hybrid approach based on neural networks and genetic algorithms to the study of profitability in the Spanish Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 12(5), pages 303-308, April. [Downloadable!] (restricted)
    23. Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Working Papers 0309, Department of Economics, Vanderbilt University. [Downloadable!]
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    24. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004 112, Society for Computational Economics. [Downloadable!]
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    25. Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics 0401004, EconWPA, revised 05 Jul 2004. [Downloadable!]
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    26. Christian A Johnson & Rodrigo Vergara, 2005. "The Implementation of Monetary Policy in an Emerging Economy: The Case of Chile," Documentos de Trabajo 291, Instituto de Economía. Pontificia Universidad Católica de Chile.. [Downloadable!]
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    27. Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil). [Downloadable!]
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    28. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    29. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    30. Catherine Kyrtsou & Michel Terraza, 2000. "Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange," Computing in Economics and Finance 2000 Z226, Society for Computational Economics. [Downloadable!]
    31. Raimundo Soto, . "El Tipo de Cambio Real de Equilibrio: Un modelo no lineal de Series de Tiempo," ILADES-Georgetown University Working Papers inv094, Ilades-Georgetown University, School of Economics and Bussines. [Downloadable!]
    32. Ralf Östermark & Jaana Aaltonen & Henrik Saxén & Kenneth Söderlund, 2004. "Nonlinear modelling of the Finnish Banking and Finance branch index," European Journal of Finance, Taylor and Francis Journals, vol. 10(4), pages 277-289, August. [Downloadable!] (restricted)
    33. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
    34. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO. [Downloadable!]
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    35. Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Springer, vol. 32(4), pages 383-406, November. [Downloadable!] (restricted)
    36. Medeiros, Marcelo & Veiga, Alvaro, 2000. "Diagnostic Checking in a Flexible Nonlinear Time Series Model," Working Paper Series in Economics and Finance 386, Stockholm School of Economics, revised 15 Jan 2001.
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    37. Daniel Santín & Francisco J. Delgado & Aurelia Valiño, 2004. "The measurement of technical efficiency: a neural network approach," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 627-635, April. [Downloadable!] (restricted)
    38. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]
    39. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics. [Downloadable!]
    40. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    41. Raffaella Giacomini & Christian Haefke & Halbert White & Andreas Gottschling, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series 2002-14, Department of Economics, UC San Diego. [Downloadable!]
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    42. Jason Barr & Francesco Saraceno, 2004. "Organization, Learning and Cooperation," Computational Economics 0402001, EconWPA. [Downloadable!]
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    43. Madden, Gary G & Tan, Joachim, 2008. "Forecasting international bandwidth capacity using linear and ANN methods," MPRA Paper 13005, University Library of Munich, Germany. [Downloadable!]
    44. Javier Gil-Bazo & David Moreno & Mikel Tapia, 2005. "Price Dynamics, Informational Efficiency And Wealth Distribution In Continuous Double Auction Markets," Business Economics Working Papers wb057819, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    45. Raimundo Soto, . "Nonlinearities in the Demand for money: A Neural Network Approach," ILADES-Georgetown University Working Papers inv107, Ilades-Georgetown University, School of Economics and Bussines. [Downloadable!]
    46. Martha Misas & Enrique López & Pablo Querubín, . "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 199, Banco de la Republica de Colombia. [Downloadable!]
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    47. Khurshid M. Kiani & Prasad V. Bidarkota & Terry L. Kastens, 2005. "Forecast performance of neural networks and business cycle asymmetries," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 205-210, July. [Downloadable!] (restricted)
    48. R. Glen Donaldson & Mark Kamstra, . "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics. [Downloadable!]

  5. Chung-Ming Kuan & Halbert White, 1991. "Strong Convergence of Recursive m-Estimators for Models with Dynamic Latent Variables," University of California at San Diego, Economics Working Paper Series 91-05r, Department of Economics, UC San Diego.
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    Cited by:

    1. Albert Marcet & Thomas J. Sargent, 1992. "Speed of Convergence of Recursive Least Squares Learning with ARMA Perceptions," Economics Working Papers 15, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

Articles

  1. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June. [Downloadable!] (restricted)

    Cited by:

    1. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics. [Downloadable!]

  2. Po-Hsuan Hsu & Chung-Ming Kuan, 2005. "Reexamining the Profitability of Technical Analysis with Data Snooping Checks," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 606-628. [Downloadable!] (restricted)

    Cited by:

    1. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics. [Downloadable!]
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  3. Kuan, Chung-Ming & Huang, Yu-Lieh & Tsay, Ruey S., 2005. "An Unobserved-Component Model With Switching Permanent and Transitory Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 443-454, October. [Downloadable!] (restricted)

    Cited by:

    1. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]

  4. Chung-Ming Kuan & Wei-Ming Lee, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(4). [Downloadable!]

    Cited by:

    1. Park, Joon Y. & Whang, Yoon-Jae, 2004. "A Test of the Martingale Hypothesis," Working Papers 2004-11, Rice University, Department of Economics. [Downloadable!]
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    2. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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  5. Yi-Ting Chen & Chung-Ming Kuan, 2002. "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 565-578. [Downloadable!]

    Cited by:

    1. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133. [Downloadable!]
    2. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    3. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  6. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Chih-Chiang Hsu & Chung-Ming Kuan, 2001. "Distinguishing between trend-break models: method and empirical evidence," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1.

    Cited by:

    1. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
    2. Paresh Kumar Narayan & Russell Smyth, 2006. "The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves: empirical evidence from China," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 639-651, June. [Downloadable!] (restricted)

  8. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March. [Downloadable!] (restricted)

    Cited by:

    1. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133. [Downloadable!]
    2. Alan E. H. Speight & Piers Thompson, 2006. "Is investment time irreversible? Some empirical evidence for disaggregated UK manufacturing data," Applied Economics, Taylor and Francis Journals, vol. 38(19), pages 2265-2275, October. [Downloadable!] (restricted)
    3. Gilles Zumbach, 2007. "Time reversal invariance in finance," Quantitative Finance Papers 0708.4022, arXiv.org. [Downloadable!]
    4. Yi-Ting Chen & Chung-Ming Kuan, 2002. "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 565-578. [Downloadable!]
    5. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289. [Downloadable!]
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    6. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    7. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]

  9. Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000. "Monitoring Structural Changes With The Generalized Fluctuation Test," Econometric Theory, Cambridge University Press, vol. 16(06), pages 835-854, December. [Downloadable!]

    Cited by:

    1. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
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    2. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, . "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    3. Stanislav Anatolyev & Grigory Kosenok, 2009. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    4. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO. [Downloadable!]
    5. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121. [Downloadable!]
    6. Alexander Aue & Lajos Horváth & Piotr Kokoszka & Josef Steinebach, 2008. "Monitoring shifts in mean: Asymptotic normality of stopping times," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 515-530, November. [Downloadable!] (restricted)

  10. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.

    Cited by:

    1. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University. [Downloadable!]
    2. John Dawson & Steven Millsaps & Mark Strazicich, 2004. "Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987," Working Papers 04-04, Department of Economics, Appalachian State University, revised 2005. [Downloadable!]
    3. Chanwit Phengpis, 2006. "Are emerging stock market price indices really stationary?," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 931-939, September. [Downloadable!] (restricted)
    4. John W. Dawson, 2005. "Regulation and the Macroeconomy," Working Papers 05-16, Department of Economics, Appalachian State University. [Downloadable!]
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    5. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Department of Economics, University of Glasgow. [Downloadable!]
    6. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
    7. N. Vasudeva Murthy, 2009. "The Feldstein–Horioka puzzle in Latin American and Caribbean countries: a panel cointegration analysis," Journal of Economics and Finance, Springer, vol. 33(2), pages 176-188, April. [Downloadable!] (restricted)
    8. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-15. [Downloadable!]
    9. E. Schirru, 1996. "Modelli di determinazione del tasso di cambio: un'analisi di cointegrazione," Working Paper CRENoS 199610, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    10. John W. Dawson & Mark C. Strazicich, 2006. "Time Series Tests of Income Convergence with Two Structural Breaks: An Update and Extension," Working Papers 06-01, Department of Economics, Appalachian State University. [Downloadable!]
    11. Bruce Felmingham & Su San Leong, 2003. "The stationarity of Australian real interest rates with and without structural breaks," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 239-241, March. [Downloadable!] (restricted)
    12. Li-gang Liu & Laurent Pauwels & Andrew Tsang, 2007. "How Large is the Wealth Effect on Hong Kong¡¦s Consumption? Evidence from a Habit Formation Model of Consumption," Working Papers 0720, Hong Kong Monetary Authority. [Downloadable!]
    13. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness. [Downloadable!]
    14. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    15. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    16. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
    17. Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
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    18. Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas, 2007. "Do real interest rates converge? Evidence from the European Union," Working Papers 2007_21, Department of Economics, University of Glasgow. [Downloadable!]
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    19. Luis C. Nunes, 2004. "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings 190, Econometric Society. [Downloadable!]
    20. Vasco J. C. R. De A. Gabriel & Artur C. B. Da Silva Lopes & Luis C. Nunes, 2003. "Instability in cointegration regressions: a brief review with an application to money demand in Portugal," Applied Economics, Taylor and Francis Journals, vol. 35(8), pages 893-900, January. [Downloadable!] (restricted)
    21. Singh, Prakash & Pandey, Manoj K., 2009. "Structural break, stability and demand for money in India," MPRA Paper 15425, University Library of Munich, Germany. [Downloadable!]
    22. John W. Dawson & Steven W. Millsaps & Mark C. Strazicich, 2007. "Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974--1987," Applied Economics, Taylor and Francis Journals, vol. 39(1), pages 43-51, January. [Downloadable!] (restricted)
    23. Juncal Cuñado & Fernando Perez de Gracia, 2006. "Real convergence in some Central and Eastern European countries," Applied Economics, Taylor and Francis Journals, vol. 38(20), pages 2433-2441, November. [Downloadable!] (restricted)
    24. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor and Francis Journals, vol. 37(9), pages 1063-1071, May. [Downloadable!] (restricted)
    25. Amit Sen, 2004. "Are US macroeconomic series difference stationary or trend-break stationary?," Applied Economics, Taylor and Francis Journals, vol. 36(18), pages 2025-2029, October. [Downloadable!] (restricted)
    26. ALTINAY, Galip, 2005. "Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4). [Downloadable!]
    27. Frédérique BEC, Charbel BASSIL, 2008. "Federal Funds Rate Stationarity: New Evidence," THEMA Working Papers 2008-35, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

  11. Nunes, Luis C. & Newbold, Paul & Chung-Ming Kuan, 1996. "Spurious number of breaks," Economics Letters, Elsevier, vol. 50(2), pages 175-178, February. [Downloadable!] (restricted)

    Cited by:

    1. Ibrahim Ahamada & Jamel Jouini & Mohamed Boutahar, 2004. "Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1095-1101, June. [Downloadable!] (restricted)
    2. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    3. N. Hyung & P.H.B.F. Franses, 2001. "Structural breaks and long memory in US inflation rates," Econometric Institute Report 221, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    4. Mohamed BOUTAHAR & Jamel JOUINI, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, Economics Bulletin, vol. 3(3), pages 1-10. [Downloadable!]
    5. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    6. Gustavsson, Magnus & Österholm, Pär, 2006. "Does Unemployment Hysteresis Equal Employment Hysteresis?," Working Paper Series 2006:15, Uppsala University, Department of Economics. [Downloadable!]
      Other versions:
    7. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society. [Downloadable!]
      Other versions:

  12. Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-64, Oct.-Dec.. [Downloadable!] (restricted)

    Cited by:

    1. H. Peter Boswijk & Philip Hans Franses, 1996. "Common Persistence in Nonlinear Autoregressive Models," University of California at San Diego, Economics Working Paper Series 96-10, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    2. Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006. [Downloadable!]
      Other versions:
    3. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia. [Downloadable!]
    4. Mohan Neeraj & Jha Pankaj & Laha Arnab Kumar & Dutta Goutam, 2005. "Artificial Neural Network Models for Forecasting Stock Price Index in Bombay Stock Exchange," IIMA Working Papers 2005-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
    5. Shiyi Chen & Kiho Jeong & Wolfgang K. Härdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    6. D.J.C. van Dijk & P.H.B.F. Franses & H.P. Boswijk, 2000. "Asymmetric and common absorption of shocks in nonlinear autoregressive models," Econometric Institute Report 184, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    7. Ali Choudhary & Adnan Haider, 2008. "Neural Network Models for Inflation Forecasting: An Appraisal," Department of Economics Discussion Papers 0808, Department of Economics, University of Surrey. [Downloadable!]
    8. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]
    9. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    10. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic. [Downloadable!]
    11. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
    12. Spiliopoulos, Leonidas, 2009. "Neural networks as a learning paradigm for general normal form games," MPRA Paper 16765, University Library of Munich, Germany. [Downloadable!]
    13. John Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1996. "Nearest-Neighbor Forecasts of U.S. Interest Rates," Boston College Working Papers in Economics 313., Boston College Department of Economics, revised 01 Apr 2003. [Downloadable!]
    14. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    15. Kala Krishna & Ataman Ozyildirim & Norman R. Swanson, 1998. "Trade, Investment, and Growth: Nexus, Analysis, and Prognosis," NBER Working Papers 6861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Springer, vol. 28(1), pages 71-88, August. [Downloadable!] (restricted)
    17. Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Springer, vol. 32(4), pages 383-406, November. [Downloadable!] (restricted)
    18. John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998. "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics 377, Boston College Department of Economics, revised 21 Apr 2000. [Downloadable!]
    19. Daniel Santín & Francisco J. Delgado & Aurelia Valiño, 2004. "The measurement of technical efficiency: a neural network approach," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 627-635, April. [Downloadable!] (restricted)
    20. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March. [Downloadable!]
    21. Peter F. Christoffersen & Francis X. Diebold, 2004. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies. [Downloadable!]
      Other versions:
    22. John Pippenger, 2008. "Freely Floating Exchange Rates Do Not Systematically Overshoot," University of California at Santa Barbara, Economics Working Paper Series 01-08, Department of Economics, UC Santa Barbara. [Downloadable!]
    23. Longhi, Simonetta & Nijkamp, Peter & Reggiani, Aura & Blien, Uwe, 2002. "Forecasting regional labour markets in Germany: an evaluation of the performance of neural network analysis," ERSA conference papers ersa02p117, European Regional Science Association. [Downloadable!]
    24. Marcos Alvarez-Diaz & Alberto Alvarez, 2007. "Forecasting exchange rates using an evolutionary neural network," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 5-9, January. [Downloadable!] (restricted)

  13. Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(04), pages 699-720, August. [Downloadable!]

    Cited by:

    1. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," European Journal of Finance, Taylor and Francis Journals, vol. 9(6), pages 533-556, December. [Downloadable!] (restricted)
    2. Raffaella Giacomini & Barbara Rossi, 2006. "Detecting and predicting forecast breakdowns," Working Paper Series 638, European Central Bank. [Downloadable!]
      Other versions:
    3. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA. [Downloadable!]
      Other versions:
    4. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    5. Stanislav Anatolyev & Grigory Kosenok, 2009. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    6. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121. [Downloadable!]

  14. Nunes, Luis C. & Kuan, Chung-Ming & Newbold, Paul, 1995. "Spurious Break," Econometric Theory, Cambridge University Press, vol. 11(04), pages 736-749, August. [Downloadable!]

    Cited by:

    1. Laura Mayoral, 2005. "Further evidence on the statistical properties of Real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006. [Downloadable!]
      Other versions:
    2. Ted Juhl, 2004. "A nonparametric adjustment for tests of changing mean," Economics Bulletin, Economics Bulletin, vol. 3(34), pages 1-11. [Downloadable!]
    3. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    4. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City. [Downloadable!]
      Other versions:
    5. David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, . "Testing for a unit root in the presence of a possible break in trend," Discussion Papers 07/04, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
      Other versions:
    6. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society. [Downloadable!]
      Other versions:
    7. Peter C.B. Phillips, 2004. "Challenges of Trending Time Series Econometrics," Cowles Foundation Discussion Papers 1472, Cowles Foundation, Yale University. [Downloadable!]
    8. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    9. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics. [Downloadable!]
      Other versions:
    10. Laura Mayoral, 2005. "The Persistence of Inflation in OECDCountries: a Fractionally Integrated Approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005. [Downloadable!]
      Other versions:

  15. Chung-Ming Kuan & Kurt Hornik, 1995. "The generalized fluctuation test: A unifying view," Econometric Reviews, Taylor and Francis Journals, vol. 14(2), pages 135-161. [Downloadable!] (restricted)

    Cited by:

    1. Pierre Perron & Tomoyoshi Yabu, 2007. "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series WP2007-020, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    2. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, . "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics. [Downloadable!]
    3. Ai Deng & Pierre Perron, 2007. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change," Boston University - Department of Economics - Working Papers Series WP2007-019, Boston University - Department of Economics. [Downloadable!]
      Other versions:

  16. Chung-Ming Kuan & Halbert White, 1994. "Artificial neural networks: an econometric perspective," Econometric Reviews, Taylor and Francis Journals, vol. 13(1), pages 1-91. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  17. Kuan, Chung-Ming & Chen, Mei-Yuan, 1994. "Implementing the fluctuation and moving-estimates tests in dynamic econometric models," Economics Letters, Elsevier, vol. 44(3), pages 235-239. [Downloadable!] (restricted)

    Cited by:

    1. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR). [Downloadable!]
      Other versions:
    2. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121. [Downloadable!]

  18. Kuan, Chung-Ming & White, Halbert, 1994. "Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes," Econometrica, Econometric Society, vol. 62(5), pages 1087-1114, September. [Downloadable!] (restricted)

    Cited by:

    1. Timothy Kam, 2004. "Two-sided Learning and Optimal Monetary Policy in an Open Economy Model," Economics Discussion / Working Papers 04-07, The University of Western Australia, Department of Economics. [Downloadable!]
    2. Xiaohong Chen & Halbert White, 2002. "Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space," University of California at San Diego, Economics Working Paper Series 2002-07, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    3. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    4. Heinemann, Maik & Lange, Carsten, 1997. "Modellierung von Preiserwartungen durch neuronale Netze," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-203, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    5. Atanas Christev, 2007. "Learning Hyperinflations," Money Macro and Finance (MMF) Research Group Conference 2006 126, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    6. Xiaohong Chen & Halbert White, 1994. "Nonparametric Adaptive Learning with Feedback," University of California at San Diego, Economics Working Paper Series 94-21, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    7. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
    8. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO. [Downloadable!]
      Other versions:

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