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Citations for "Smooth Transition Autoregressive Models - A Survey of Recent Developments"

by van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans

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  1. Chorng-Huey Wong & Eric V. Clifton & Gene L. Leon, 2001. "Inflation Targeting and the Unemployment-Inflation Trade-off," IMF Working Papers 01/166, International Monetary Fund.
  2. Menzie D. Chinn & Laurent Ferrara & Valérie Mignon, 2013. "Post-recession US Employment through the Lens of a Non-linear Okun's law," NBER Working Papers 19047, National Bureau of Economic Research, Inc.
  3. Smith, Aaron D., 2004. "Forecasting in the Presence of Level Shifts," Working Papers 11985, University of California, Davis, Department of Agricultural and Resource Economics.
  4. G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  5. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  6. Arghyrou, Michael G, 2006. "Monetary policy before and after the euro: Evidence from Greece," Cardiff Economics Working Papers E2006/26, Cardiff University, Cardiff Business School, Economics Section.
  7. Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Auburn Economics Working Paper Series auwp2012-02, Department of Economics, Auburn University.
  8. Taamouti, Abderrahim & Gonzalo, Jesús, 2011. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1145, Universidad Carlos III de Madrid. Departamento de Economía.
  9. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  10. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
  11. Funke, Michael & Gronwald, Marc, 2007. "The undisclosed renminbi basket : are the markets telling us something about where the renminbi - US dollar exchange rate is going?," BOFIT Discussion Papers 20/2007, Bank of Finland, Institute for Economies in Transition.
  12. Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis," CESifo Working Paper Series 5550, CESifo Group Munich.
  13. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  14. P.H. Franses & D. Fok & D. van Dijk, 2004. "A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production," Econometric Society 2004 Australasian Meetings 267, Econometric Society.
  15. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, Department of Business and Economics, University of Southern Denmark.
  16. Legrenzi, Gabriella & Milas, Costas, 2013. "Modelling the fiscal reaction functions of the GIPS based on state-varying thresholds," Economics Letters, Elsevier, vol. 121(3), pages 384-389.
  17. JAWADI Fredj, 2008. "Does nonlinear econometrics confirm the macroeconomic models of consumption?," Economics Bulletin, AccessEcon, vol. 5(17), pages 1-11.
  18. 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.
  19. Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, EconWPA.
  20. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
  21. Yue-Jun Zhang & Ting Yao & Zi-Yi Wang, 2015. "The bubble process of international crude oil futures prices: empirical evidence from the STAR model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 109-125.
  22. Kani, Alireza H. & Abbasspour, Madjid & Abedi, Zahra, 2014. "Estimation of demand function for natural gas in Iran: Evidences based on smooth transition regression models," Economic Modelling, Elsevier, vol. 36(C), pages 341-347.
  23. repec:hhs:bofitp:2007_020 is not listed on IDEAS
  24. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  25. Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
  26. Denise Osborn & Marianne Sensier, 2007. "UK inflation: persistance, seasonality and monetary policy," The School of Economics Discussion Paper Series 0716, Economics, The University of Manchester.
  27. Gilbert Colletaz & Christophe Hurlin, 2006. "Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach," Post-Print halshs-00257390, HAL.
  28. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
  29. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  30. Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
  31. Laurent Ferrara & Massimiliano Marcellino & Matteo Mogliani, 2015. "Macroeconomic forecasting during the Great Recession: the return of non-linearity?," Post-Print hal-01385973, HAL.
  32. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
  33. JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
  34. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," The School of Economics Discussion Paper Series 0305, Economics, The University of Manchester.
  35. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
  36. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella.
  37. Barbara Annicchiarico & Anna Rita Bennato & Emilio Zanetti Chini, 2014. "150 Years of Italian CO2 Emissions and Economic Growth," CEIS Research Paper 320, Tor Vergata University, CEIS, revised 31 Jul 2014.
  38. Antonia López-Villavicencio & Valérie Mignon, 2013. "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," EconomiX Working Papers 2013-1, University of Paris West - Nanterre la Défense, EconomiX.
  39. Ram Sharan Kharel & Christopher Martin & Costas Milas, 2010. "The Complex Response Of Monetary Policy To The Exchange Rate," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(1), pages 103-117, 02.
  40. Chapda Nana, Guy & Larue, Bruno & Gervais, Jean-Philippe, 2012. "Regional integration and dynamic adjustments: Evidence from gross national product functions for Canada and the United States," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 246-264.
  41. Ahmad, Saad, 2016. "A multiple threshold analysis of the Fed's balancing act during the Great Moderation," Economic Modelling, Elsevier, vol. 55(C), pages 343-358.
  42. Raphael Espinoza & Hyginus Leon & Ananthakrishnan Prasad, 2012. "When Should We Worry about Inflation?," World Bank Economic Review, World Bank Group, vol. 26(1), pages 100-127.
  43. González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics.
  44. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
  45. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2014. "Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions," Melbourne Institute Working Paper Series wp2014n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  46. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Nonlinear relationship between health care expenditure and its determinants: a panel smooth transition regression model," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(4), pages 713-729, November.
  47. Tsai-Yuan Huang & Po-Chin Wu & Ching-Wen Yan, 2014. "Revisiting the redistribution effects of intergovernmental fiscal transfers: evidence from Taiwan," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(4), pages 341-359, December.
  48. Mohamed El Hedi Arouri & Shawkat Hammoudeh & Duc Khuong Nguyen & Amine Lahiani, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Working Papers hal-00798036, HAL.
  49. Chabot-Hallé, Dominique & Duchesne, Pierre, 2008. "Diagnostic checking of multivariate nonlinear time series models with martingale difference errors," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 997-1005, June.
  50. Mohamed El Hedi Arouri & Fredj Jawadi & Khuong Nguyen Duc, 2010. "Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets," Working Papers 14, Development and Policies Research Center (DEPOCEN), Vietnam.
  51. repec:zbw:rwirep:0272 is not listed on IDEAS
  52. Konstantin A., Kholodilin, 2003. "Identifying and Forecasting the Turns of the Japanese Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  53. Michael Ellington & Costas Milas, 2014. "Global liquidity, money growth and UK inflation," Working Paper Series 21_14, The Rimini Centre for Economic Analysis.
  54. repec:hal:journl:halshs-01318131 is not listed on IDEAS
  55. Austin, Darran & Ward, Bert & Dalziel, Paul, 2007. "The demand for money in China 1987-2004: A non-linear modelling approach," China Economic Review, Elsevier, vol. 18(2), pages 190-204.
  56. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, Marseille, France, revised Jan 2014.
  57. Fallahi, Firouz & Montazeri Shoorkchali, Jalal, 2012. "Government size and economic growth in Greece: A smooth transition approach," MPRA Paper 74078, University Library of Munich, Germany.
  58. repec:rim:rimwps:37-07 is not listed on IDEAS
  59. Christophe Hurlin, 2007. "The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach," Post-Print halshs-00270213, HAL.
  60. Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
  61. Michael G. Arghyrou & Georgios Chortareas, 2008. "Current Account Imbalances and Real Exchange Rates in the Euro Area," Review of International Economics, Wiley Blackwell, vol. 16(4), pages 747-764, 09.
  62. Shintani, Mototsugu & Terada-Hagiwara, Akiko & Yabu, Tomoyoshi, 2013. "Exchange rate pass-through and inflation: A nonlinear time series analysis," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 512-527.
  63. Tsong, Ching-Chuan, 2011. "Testing for a unit root with covariates against nonlinear alternatives," Economic Modelling, Elsevier, vol. 28(3), pages 1226-1234, May.
  64. Beckmann, Joscha & Belke, Ansgar & Dreger, Christian, 2014. "The relevance of international spillovers and asymmetric effects in the Taylor rule," Discussion Papers 359, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  65. Paolo Giordani, 2006. "A cautionary note on outlier robust estimation of threshold models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 37-47.
  66. Nachatchapong Kaewsompong & Songsak Sriboonchitta & Prasert Chaitip & Pathairat Pastpipatkul, 2012. "Econometric modeling of the relationship among macroeconomic variables of Thailand: Smooth transition autoregressive regression model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 21-38, December.
  67. Joscha Beckmann, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 0272, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  68. Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
  69. Di Caro, Paolo, 2014. "Regional recessions and recoveries in theory and practice: a resilience-based overview," MPRA Paper 60300, University Library of Munich, Germany.
  70. Benbouziane, Mohamed & Benamar, Abdelhak, 2006. "The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective," MPRA Paper 13853, University Library of Munich, Germany, revised 2007.
  71. Edilean Kleber da Silva Bejarano Aragón & Marcelo Savino Portugal, 2008. "Nonlinearities in Central Bank of Brazil’s reaction function: the case of asymmetric preferences," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807151356590, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  72. Michael G. Arghyrou & Kul B Luintel, 2002. "Government Solvency: Revisiting some EMU Countries," Public Policy Discussion Papers 02-24, Economics and Finance Section, School of Social Sciences, Brunel University.
  73. Di Caro, Paolo, 2014. "Testing and explaining economic resilience with an application to Italian regions," MPRA Paper 60298, University Library of Munich, Germany.
  74. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
  75. Leroi Raputsoane and Ruthira Naraidoo, 2014. "Debt sustainability and financial crises in South Africa," Working Papers 403, Economic Research Southern Africa.
  76. Michael Arghyrou & Christopher Martin & Costas Milas, 2003. "Non-linear Inflationary Dynamics: Evidence from the UK," Economics and Finance Discussion Papers 03-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  77. Ansgar Belke & Joscha Beckmann & Florian Verheyen, 2012. "Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data," Ruhr Economic Papers 0350, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  78. 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.
  79. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 1-24.
  80. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009. "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers 2009-07, Scottish Institute for Research in Economics (SIRE).
  81. repec:wyi:journl:002118 is not listed on IDEAS
  82. 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).
  83. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
  84. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen Miller, 2013. "Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes," Empirical Economics, Springer, vol. 44(2), pages 387-417, April.
  85. Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008.
  86. Gabriella Deborah Legrenzi & Costas Milas, 2012. "Fiscal Policy Sustainability, Economic Cycle and Financial Crises: The Case of the GIPS," CESifo Working Paper Series 4001, CESifo Group Munich.
  87. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
  88. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016. "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," BORRADORES DE ECONOMIA 014299, BANCO DE LA REPÚBLICA.
  89. Mohamed El Hedi Arouri & F. Jawadi & Duc Khuong Nguyen, 2010. "Synchronization and nonlinear interdependence of short-term interest rates:," Working Papers hal-00507820, HAL.
  90. Hassouneh, Islam & Radwan, Amr & Serra, Teresa & Gil, José M., 2012. "Food scare crises and developing countries: The impact of avian influenza on vertical price transmission in the Egyptian poultry sector," Food Policy, Elsevier, vol. 37(3), pages 264-274.
  91. M. J. Herrerias & Javier Ordoñez, 2011. "If the Unites States sneezes, does the world need paracetamol?," Working Papers 2011/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  92. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  93. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1236-1278, December.
  94. Victor Pontines, 2013. "How Useful Is an Asian Currency Unit (ACU) Index for Surveillance in East Asia?," Finance Working Papers 23398, East Asian Bureau of Economic Research.
  95. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  96. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers 2010-39, Scottish Institute for Research in Economics (SIRE).
  97. Cengiz, Sibel & Sahin, Afsin, 2013. "Modelling Nonlinear Behavior of Labor Force Participation Rate by STAR: An Application for Turkey," MPRA Paper 47805, University Library of Munich, Germany, revised 07 May 2013.
  98. Peter Martey Addo & Monica Billio & Dominique Guégan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310518, HAL.
  99. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," Stirling Economics Discussion Papers 2009-04, University of Stirling, Division of Economics.
  100. Philippe J. Deschamps, 2008. "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(4), pages 435-462.
  101. Nidhaleddine Ben Cheikh, 2012. "Asymmetric exchange rate pass-through in the Euro area: new evidence from smooth transition models," Post-Print halshs-00761014, HAL.
  102. Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 10-57, Junio.
  103. Miguel de Carvalho & Paulo Julio, 2010. "Digging Out the PPP Hypothesis: an Integrated Empirical Coverage," GEE Papers 0024, Gabinete de Estratégia e Estudos, Ministério da Economia e da Inovação, revised Sep 2010.
  104. David Ubilava, 2012. "El Niño, La Niña, and world coffee price dynamics," Agricultural Economics, International Association of Agricultural Economists, vol. 43(1), pages 17-26, 01.
  105. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
  106. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 15-27, Eastern Mediterranean University, Department of Economics.
  107. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  108. Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  109. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
  110. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Does Misery Index Matter for the Persistence of Health Spending? Evidence from OECD Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 118(2), pages 893-910, September.
  111. Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
  112. Ameer, Rashid, 2014. "Financial constraints and corporate investment in Asian countries," Journal of Asian Economics, Elsevier, vol. 33(C), pages 44-55.
  113. Joao Sousa Andrade & António Portugal Duarte & Adelaide Duarte, 2013. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," EcoMod2013 5305, EcoMod.
  114. Anne-Laure Delatte & Julien Fouquau & Carsten A. Holz, 2011. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Print hal-00756576, HAL.
  115. Yosra Baaziz & Moez Labidi, 2016. "Nonlinear Monetary Policy Rules: An Essay in the Comparative Study on Egyptian and Tunisian Central Banks," Economies, MDPI, Open Access Journal, vol. 4(2), pages 6, April.
  116. Estefanía Mourelle & José Cancelo, 2009. "Nonlinearities and the Business Cycle in Spanish Imports: A Smooth Transition Regression Approach," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(2), pages 245-259, May.
  117. Dimitris K. Christopoulos & Miguel Leon-Ledesma, 2008. "Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model," Studies in Economics 0802, School of Economics, University of Kent.
  118. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  119. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  120. d'Agostino, Giorgio & Daddi, Pierluigi & Pieroni, Luca & Steinbrueck, Eric, 2014. "Does military spending stimulate growth? An empirical investigation in Italy," MPRA Paper 58290, University Library of Munich, Germany.
  121. 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.
  122. Waldyr Dutra Areosa & Michael McAleer & Marcelo Cunha Medeiros, 2010. "Moment-based estimation of smooth transition regression models with endogenous variables," Textos para discussão 571, Department of Economics PUC-Rio (Brazil).
  123. Burcu Kıran, 2012. "Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(3), pages 325-334, June.
  124. Stephen Norman, 2016. "Attractor misspecification and threshold estimation bias," Economics Bulletin, AccessEcon, vol. 36(4), pages 1911-1921.
  125. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  126. Jakob Madsen & Costas Milas, 2005. "The Price-Dividend Relationship In Inflationary And Deflationary Regimes," Econometrics 0506002, EconWPA.
  127. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  128. Saglio, Sophie & López-Villavicencio, Antonia, 2012. "Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities," MPRA Paper 46646, University Library of Munich, Germany.
  129. Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics 0401004, EconWPA, revised 05 Jul 2004.
  130. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  131. repec:ebl:ecbull:v:6:y:2008:i:9:p:1-11 is not listed on IDEAS
  132. Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers 2009-15, Department of Economics and Business Economics, Aarhus University.
  133. Martin, Christopher & Milas, Costas, 2013. "Financial crises and monetary policy: Evidence from the UK," Journal of Financial Stability, Elsevier, vol. 9(4), pages 654-661.
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  153. Álvaro Aguirre R. & César A. Calderón, 2013. "Asimetrías en el Ajuste del Desalineamiento Cambiario en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(3), pages 90-101, December.
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  168. Giordani, P. & Kohn, R. & van Dijk, D.J.C., 2005. "A unified approach to nonlinearity, structural change and outliers," Econometric Institute Research Papers EI 2005-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  203. Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
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  206. Ubilava, David, 2014. "International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions," Working Papers 2014-06, University of Sydney, School of Economics.
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  220. Wu, Po-Chin & Liu, Shiao-Yen & Hsiao, Juei-Ming & Huang, Tsai-Yuan, 2016. "Nonlinear and time-varying growth-tourism causality," Annals of Tourism Research, Elsevier, vol. 59(C), pages 45-59.
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  227. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  228. Nan Cai & Zongwu Cai & Ying Fang & Qiuhua Xu, 2015. "Forecasting major Asian exchange rates using a new semiparametric STAR model," Empirical Economics, Springer, vol. 48(1), pages 407-426, February.
  229. Ruthira Naraidoo & Kasai Ndahiriwe, 2010. "Financial asset prices, linear and nonlinear policy rules. An In-sample assessment of the reaction function of the South African Reserve Bank," Working Papers 201006, University of Pretoria, Department of Economics.
  230. Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier, 2008. "An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals," Journal of Econometrics, Elsevier, vol. 147(2), pages 372-383, December.
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  232. Jian Chai & Ting Liang & Xiaoyang Zhou & Yunxiao Ye & Limin Xing & Kin Keung Lai, 2016. "Natural Gas Consumption of Emerging Economies in the Industrialization Process," Sustainability, MDPI, Open Access Journal, vol. 8(11), pages 1089, October.
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  234. Deschamps, Philippe J., 2004. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," DQE Working Papers 2, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
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  238. Hahn, William F & Stewart, Hayden & Blayney, Donald P & Davis, Christopher G., 2015. "Modeling Price Transmission between Farm and Retail Prices: A Soft Switches Approach," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204951, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
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  240. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
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  243. Petri Maki-Franti, 2008. "Money and stock returns: is there habit formation for holding liquid assets?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 63-80.
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  274. Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011. "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper 40699, University Library of Munich, Germany.
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  280. Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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  290. Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2004. "Forecasting aggregates using panels of nonlinear time series," Econometric Institute Research Papers EI 2004-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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  292. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
  293. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.
  294. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
  295. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228 Edward Elgar Publishing.
  296. Mohamed El Hedi Arouri & Duc Khuong Nguyen & Fredj Jawadi, 2010. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Working Papers hal-00507826, HAL.
  297. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
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  300. Kouwenberg, Roy & Zwinkels, Remco, 2014. "Forecasting the US housing market," International Journal of Forecasting, Elsevier, vol. 30(3), pages 415-425.
  301. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
  302. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
  303. Chen, Shyh-Wei & Xie, Zixiong, 2015. "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 142-156.
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  305. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
  306. 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.
  307. Chavas, Jean-Paul & Li, Jian, 2016. "On the Economics of Commodity Price Dynamics and Price Volatility," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235070, Agricultural and Applied Economics Association.
  308. Camarero, Mariam & Ordóñez, Javier, 2012. "Nonlinear adjustment in the real dollar–euro exchange rate: The role of the productivity differential as a fundamental," Economic Modelling, Elsevier, vol. 29(2), pages 444-449.
  309. Julien Fouquau, 2007. "The Feldstein-Horiaka Puzzle: a Panel Smooth Transition Regression Approach," Post-Print halshs-00222938, HAL.
  310. Zhang, Lingxiang, 2013. "Revisiting the empirics of inflation in China: A smooth transition error correction approach," Economics Letters, Elsevier, vol. 119(1), pages 68-71.
  311. Serra, Teresa & Zilberman, David & Gil, Jose Maria & Goodwin, Barry K., 2008. "Nonlinearities in the US corn-ethanol-oil price system," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6512, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  312. Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
  313. Li, Ke & Lin, Boqiang, 2014. "The nonlinear impacts of industrial structure on China's energy intensity," Energy, Elsevier, vol. 69(C), pages 258-265.
  314. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
  315. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  316. Hany Fahmy, 2014. "Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 577-600, November.
  317. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
  318. Lee, Cheng-Feng, 2010. "Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence," Economic Modelling, Elsevier, vol. 27(5), pages 1097-1102, September.
  319. 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.
  320. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  321. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
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