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Citations for "Testing the constancy of regression parameters against continuous structural change"

by Lin, Chien-Fu Jeff & Terasvirta, Timo

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  1. Christopher Martin & Costas Milas, 2010. "The Sub-Prime Crisis and UK Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 119-144, September.
  2. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  3. Okimoto, Tatsuyoshi & Shimotsu, Katsumi, 2010. "Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 395-411, September.
  4. Costas Milas, 2009. "Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model," Oxford Economic Papers, Oxford University Press, vol. 61(1), pages 168-182, January.
  5. Enders, Walter & Holt, Matthew T., 2011. "Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals," MPRA Paper 31461, University Library of Munich, Germany.
  6. Christopher Martin & Costas Milas, 2004. "Modelling Monetary Policy: Inflation Targeting in Practice," Economica, London School of Economics and Political Science, vol. 71(281), pages 209-221, 05.
  7. Luis E. Arango & Andrés González, 2000. "A Nonlinear Specification of Demand for Cash in Colombia," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 207-226, July-Dece.
  8. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
  9. KOMATSUBARA Tadaaki & OKIMOTO Tatsuyoshi & TATSUMI Ken-ichi, 2016. "Dynamics of Integration in East Asian Equity Markets," Discussion papers 16084, Research Institute of Economy, Trade and Industry (RIETI).
  10. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  11. Clemens Kool & Alex Lammertsma, 2005. "Inflation Persistence under Semi-Fixed Exchange Rate Regimes: The European Evidence 1974–1998," Open Economies Review, Springer, vol. 16(1), pages 51-76, January.
  12. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
  13. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  14. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, University of Economics, Prague, vol. 2011(1), pages 3-22.
  15. Aizenman, Joshua & Geng, Nan, 2009. "Adjustment of State Owned and Foreign-Funded Enterprises in China to economic reforms,1980s-2007: a logistic smooth transition regression (LSTR) approach," Santa Cruz Department of Economics, Working Paper Series qt7919w74z, Department of Economics, UC Santa Cruz.
  16. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," SSE/EFI Working Paper Series in Economics and Finance 580, Stockholm School of Economics.
  17. Okimoto, Tatsuyoshi, 2014. "Asymmetric increasing trends in dependence in international equity markets," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 219-232.
  18. Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016. "Increasing trends in the excess comovement of commodity prices," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
  19. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(03), pages 311-340, September.
  20. Ubilava, David & holt, Matt, 2013. "El Ni~no southern oscillation and its effects on world vegetable oil prices: assessing asymmetries using smooth transition models," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 57(2), June.
  21. Christopher Martin & Costas Milas, 2010. "Testing The Opportunistic Approach To Monetary Policy," Manchester School, University of Manchester, vol. 78(2), pages 110-125, 03.
  22. Neil Foster-McGregor & Robert Stehrer, 2005. "Modelling GDP in CEECs Using Smooth Transitions," wiiw Working Papers 36, The Vienna Institute for International Economic Studies, wiiw.
  23. Gebrenegus Ghilagaber, 2004. "Another Look at Chow's Test for the Equality of Two Heteroscedastic Regression Models," Quality & Quantity: International Journal of Methodology, Springer, vol. 38(1), pages 81-93, February.
  24. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for unit roots in time series with level shifts," SFB 373 Discussion Papers 1999,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  25. Tolga Omay & Furkan Emirmahmutoğlu, 2017. "The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 623-651, April.
  26. Leybourne, Stephen J. & Mizen, Paul, 1999. "Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 799-816, October.
  27. Michael Arghyrou & Christopher Martin & Costas Milas, 2005. "Non-linear inflationary dynamics: evidence from the UK," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 51-69, January.
  28. Craig, Lee & Holt, Matthew T., 2012. "The Role of Mechanical Refrigeration in Spatial and Temporal Price Dynamics for Regional U.S. Egg Markets, 1880–1911," MPRA Paper 39554, University Library of Munich, Germany.
  29. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
  30. Baaziz, Yosra & Labidi, Moez & Lahiani, Amine, 2013. "Does the South African Reserve Bank follow a nonlinear interest rate reaction function?," Economic Modelling, Elsevier, vol. 35(C), pages 272-282.
  31. Kumar, Manmohan S. & Okimoto, Tatsuyoshi, 2011. "Dynamics of international integration of government securities' markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 142-154, January.
  32. Mubariz Hasanov, 2014. "Testing for a unit root in the presence of a nonlinear trend: The case of Australian Reel Exchange Rate," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), vol. 1(1), pages 10-17.
  33. Daniel Parra-Amado & Davinson Stev Abril-Salcedo & Luis Fernando Melo-Velandia, 2016. "Impactos de los fenómenos climáticos sobre el precio de los alimentos en Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(80), pages 146-158, June.
  34. Joseph V. Balagtas & Matthew T. Holt, 2009. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(1), pages 87-105.
  35. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
  36. Gabriella Deborah Legrenzi & Costas Milas, 2011. "Debt Sustainability and Financial Crises: Evidence from the GIIPS," CESifo Working Paper Series 3594, CESifo Group Munich.
  37. Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
  38. repec:eee:ejores:v:263:y:2017:i:2:p:540-558 is not listed on IDEAS
  39. Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
  40. Milas Costas & Legrenzi Gabriella, 2006. "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
  41. repec:rim:rimwps:25-07 is not listed on IDEAS
  42. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  43. Wu, Po-Chin & Liu, Shiao-Yen & Pan, Sheng-Chieh, 2013. "Nonlinear bilateral trade balance-fundamentals nexus: A panel smooth transition regression approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 318-329.
  44. Michael Funke & Marc Gronwald, 2008. "The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?," CESifo Working Paper Series 2272, CESifo Group Munich.
  45. Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho.
  46. OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
  47. Strikholm, Birgit, 2006. "Determining the number of breaks in a piecewise linear regression model," SSE/EFI Working Paper Series in Economics and Finance 648, Stockholm School of Economics.
  48. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  49. Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
  50. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
  51. Wolfang Polasek & Wolfang Schwarzbauer & Richard Sellner, 2010. "Aggregate and Regional Economic Effects of New Railway Infrastructure," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 2(1), pages 73-85, January.
  52. Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010. "Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey," Economic Modelling, Elsevier, vol. 27(5), pages 1103-1115, September.
  53. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
  54. Rickard Sandberg, 2016. "Testing for unit roots in nonlinear heterogeneous panels with smoothly changing trends: an application to Scandinavian unemployment rates," Empirical Economics, Springer, vol. 51(3), pages 1053-1083, November.
  55. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  56. Eliasson Ann-Charlotte, 2001. "Detecting Equilibrium Correction with Smoothly Time-Varying Strength," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-19, July.
  57. repec:eid:wpaper:18/09 is not listed on IDEAS
  58. A. J. Khadaroo, 2003. "A smooth transition regression equation of the demand for UK M0," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 769-773.
  59. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
  60. David Harvey & Terence Mills, 2002. "Unit roots and double smooth transitions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 675-683.
  61. Steve Leybourne & David Harvey, 2003. "On Unit Root Tests and the Initial Observation," Econometrics 0311006, EconWPA.
  62. Sarno, Lucio & Thornton, Daniel L., 2003. "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
  63. Changli He & Timo Terasvirta & Andres Gonzalez, 2009. "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
  64. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
  65. Michael Funke & Marc Gronwald, 2008. "The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi-US Dollar Exchange Rate is Going?," The World Economy, Wiley Blackwell, vol. 31(12), pages 1581-1598, December.
  66. Luis Eduardo Arango & Andrés González, 1999. "A Nonlinear Specification of Demand for Narrow Money in Colombia," Borradores de Economia 135, Banco de la Republica de Colombia.
  67. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
  68. Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank.
  69. Berlin Wu & Liyang Chen, 2006. "Use of Partial Cumulative Sum to Detect Trends and Change Periods for Nonlinear Time Series," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 2(2), pages 123-145, July.
  70. Zsolt Darvas & Gábor Vadas, 2003. "Univariate Potential Output Estimations for Hungary," MNB Working Papers 2003/8, Magyar Nemzeti Bank (Central Bank of Hungary).
  71. González Andrés & Teräsvirta Timo, 2008. "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
  72. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
  73. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  74. P. Newbold & S. J. Leybourne & R. Sollis & M. E. Wohar, 2001. "U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks," Trinity Economics Papers 20011, Trinity College Dublin, Department of Economics.
  75. Zenón Quispe, 2000. "Monetary Policy in a Dollarized Economy: the Case of Peru," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 167-206, July-Dece.
  76. Timo Teräsvirta & Ann-Charlotte Eliasson, 2001. "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 277-288.
  77. Ruthira Naraidoo & Leroi Raputsoane, 2013. "Debt sustainability and financial crises in South Africa," Working Papers 201352, University of Pretoria, Department of Economics.
  78. Christopher Martin & Costas Milas, 2007. "Monetary Policy and the Hybrid Phillips Curve," Keele Economics Research Papers KERP 2007/12, Centre for Economic Research, Keele University.
  79. Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
  80. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002.
  81. Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
  82. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
  83. Domenico J. Marchetti & Giuseppe Parigi, 1998. "Energy Consumption, Survey Data and the Prediction of Industrial Production in Italy," Temi di discussione (Economic working papers) 342, Bank of Italy, Economic Research and International Relations Area.
  84. Christopher Martin & Costas Milas, 2004. "Uncertainty and UK Monetary Policy," Economics and Finance Discussion Papers 04-11, Economics and Finance Section, School of Social Sciences, Brunel University.
  85. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
  86. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, EconWPA.
  87. Omay, Tolga, 2012. "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper 42129, University Library of Munich, Germany.
  88. Craig, Lee A. & Holt, Matthew T., 2008. "Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940," Explorations in Economic History, Elsevier, vol. 45(1), pages 30-50, January.
  89. repec:rim:rimwps:36-07 is not listed on IDEAS
  90. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
  91. Kauppi, Eija & Lassila, Jukka & Terasvirta, Timo, 1996. "Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993," International Journal of Forecasting, Elsevier, vol. 12(3), pages 373-381, September.
  92. Sollis, Robert, 2008. "U.S. dollar real exchange rates: Nonlinearity revisited," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 516-528, June.
  93. Pede, Valerien O. & Valera, Harold Glenn A. & Alam, Mohammad Jahangir & McKenzie, Andrew M., 2013. "Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150246, Agricultural and Applied Economics Association.
  94. Matthew T. Holt & Timo Teräsvirta, 2012. "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers 2012-54, Department of Economics and Business Economics, Aarhus University.
  95. Mubariz Hasanov, 2012. "Re-examining Purchasing Power Parity for the Australian Real Exchange Rate," Hacettepe University Department of Economics Working Papers 20124, Hacettepe University, Department of Economics.
  96. Agustín G. Cartens & Alejandro M. Werner, 2000. "Mexico's Monetary Policy Framework Under a Floating Exchange Rate Regime," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 113-165, July-Dece.
  97. Walter Enders & Matthew T. Holt, 2014. "The Evolving Relationships between Agricultural and Energy Commodity Prices: A Shifting-Mean Vector Autoregressive Analysis," NBER Chapters,in: The Economics of Food Price Volatility, pages 135-187 National Bureau of Economic Research, Inc.
  98. Heinesen, Eskil, 1999. "The tax wedge and household demand for services," Economic Modelling, Elsevier, vol. 16(2), pages 235-256, April.
  99. Julian Ramajo & Miguel A. Marquez, 1998. "Structural change in regional economies: A varying coefficients econometric modeling approach," ERSA conference papers ersa98p189, European Regional Science Association.
  100. Christopher Martin & Costas Milas, 2009. "Causes of the Financial Crisis: an Assessment Using UK Data," Working Paper Series 10_09, The Rimini Centre for Economic Analysis.
  101. Kaushik Bhattacharya & Sunny Kumar Singh, 2016. "Impact of Payment Technology on Seasonality of Currency in Circulation: Evidence from the USA and India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 117-136, June.
  102. Afsin Sahin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," Working Papers 791, Economic Research Forum, revised Nov 2013.
  103. Matthew T. Holt & Joseph V. Balagtas, 2009. "Estimating Structural Change with Smooth Transition Regressions: An Application to Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(5), pages 1424-1431.
  104. repec:onb:oenbwp:y::i:135:b:1 is not listed on IDEAS
  105. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
  106. Francesco Battaglia & Mattheos K. Protopapas, 2011. "Time‐varying multi‐regime models fitting by genetic algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 237-252, 05.
  107. Sanders, Daniel J. & Baker, Timothy G., 2012. "Hedgers’ Participation in Futures Markets Under Varying Price Regimes," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124872, Agricultural and Applied Economics Association.
  108. Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  109. Balagtas, Joseph Valdes & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  110. Foster, Neil & Stehrer, Robert, 2007. "Modeling transformation in CEECs using smooth transitions," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 57-86, March.
  111. Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
  112. Blangiewicz, Maria & Charemza, Wojciech W., 1999. "East European Economic Reform: Some Simulations on a Structural Vector Autoregressive Model," Journal of Policy Modeling, Elsevier, vol. 21(5), pages 535-557, September.
  113. Charalampos Stasinakis & Georgios Sermpinis & Konstantinos Theofilatos & Andreas Karathanasopoulos, 2016. "Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 569-587, April.
  114. Barry K. Goodwin, 2014. "Comment on "The Evolving Relationships between Agricultural and Energy Commodity Prices: A Shifting-Mean Vector Autoregressive Analysis"," NBER Chapters,in: The Economics of Food Price Volatility, pages 187-192 National Bureau of Economic Research, Inc.
  115. Isabel Casas & Irene Gijbels, 2009. "Unstable volatility functions: the break preserving local linear estimator," CREATES Research Papers 2009-48, Department of Economics and Business Economics, Aarhus University.
  116. Paraskevi Salamaliki & Ioannis Venetis, 2014. "Smooth transition trends and labor force participation rates in the United States," Empirical Economics, Springer, vol. 46(2), pages 629-652, March.
  117. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004.
  118. Giovanni Arese-Visconti, 2002. "Inflation Differentials before and after the EMU," Econometrics Working Papers Archive wp2002_19, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  119. Omay, Tolga Omay & Hasanov, Mubariz, 2006. "Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi
    [A nonlinear estimation of monetary policy reaction function for Turkey]
    ," MPRA Paper 20154, University Library of Munich, Germany.
  120. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  121. He, Changli & Sandberg, Rickard, 2005. "Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 582, Stockholm School of Economics.
  122. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, vol. 17(2), pages 63-72, Autumn.
  123. Tamer Kulaksizoglu, 2016. "Measuring the Turkish core inflation with a shifting mean model," Empirical Economics, Springer, vol. 51(1), pages 57-70, August.
  124. Sermpinis, Georgios & Stasinakis, Charalampos & Rosillo, Rafael & de la Fuente, David, 2017. "European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression," European Journal of Operational Research, Elsevier, vol. 258(1), pages 372-384.
  125. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
  126. Heidi Kaila & Saurabh Singhal & Divya Tuteja, 2017. "Do fences make good neighbours? Evidence from an insurgency in India," WIDER Working Paper Series 158, World Institute for Development Economic Research (UNU-WIDER).
  127. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.
  128. Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
  129. Harumi Ohmi & Tatsuyoshi Okimoto, 2016. "Trends in stock-bond correlations," Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 536-552, February.
  130. Rodriguez, Gabriel & Sloboda, Michael J., 2005. "Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry," Structural Change and Economic Dynamics, Elsevier, vol. 16(1), pages 137-158, March.
  131. Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 133-162, April.
  132. Banu Kurtaran, 2015. "Re-examining the PPP Hypothesis via Nonlinearity and Smooth Breaks," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), vol. 2(1), pages 1-21.
  133. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2011. "Correlation dynamics in equity markets: evidence from India," Research in International Business and Finance, Elsevier, vol. 25(1), pages 64-74, January.
  134. Robert Sollis, 2005. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 79-98.
  135. Gabriella Legrenzi & Costas Milas, 2012. "Long-Run Debt Sustainability and Threshold Adjustments: Non-Linear Empirical Evidence from the GIIPS," Economics Bulletin, AccessEcon, vol. 32(3), pages 2586-2593.
  136. Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers 38, Kyushu Sangyo University, Faculty of Economics.
  137. Eklund, Bruno & Terasvirta, Timo, 2007. "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, vol. 140(2), pages 753-780, October.
  138. Heimonen, Kari, 2001. "Substituting a substitute currency : The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland, Institute for Economies in Transition.
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