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Citations for "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case"

by Robert B. Davies

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  1. Luis Alberto Toscano Medrano & Mário Jorge Cardoso de Mendonça & Manoel Carlos Pires, 2008. "Administração e Sustentabilidade da Dívida Pública no Brasil: Uma análise para o período 1995-2007," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807181514010, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  2. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
  3. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  4. Alan Beggs & Kathryn Graddy, 2005. "Testing for Reference Dependence: An Application to the Art Market," Economics Series Working Papers 228, University of Oxford, Department of Economics.
  5. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
  6. Nektarios Aslanidis & Anastasios Xepapadeas, 2004. "Smooth ‘inverted-V-shaped’ & smooth ‘N-shaped’ pollution-income paths," Working Papers 0405, University of Crete, Department of Economics.
  7. George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
  8. Luis Eduardo Arango & Andrés González, . "Some Evidence of Smooth Transition Nonlinearity in Colombian Inflation," Borradores de Economia 105, Banco de la Republica de Colombia.
  9. Georgios Chortareas & George Kapetanios, 2003. "The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests," Working Papers 484, Queen Mary University of London, School of Economics and Finance.
  10. Alicia Puyana & José Romero, 2010. "Informalidad y dualismo en la economía mexicana," Serie documentos de trabajo del Centro de Estudios Económicos 2010-04, El Colegio de México, Centro de Estudios Económicos.
  11. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, EconWPA.
  12. 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.
  13. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
  14. Santeramo, Fabio Gaetano & Cioffi, Antonio, 2012. "The entry price threshold in EU agriculture: deterrent or barrier?," MPRA Paper 36431, University Library of Munich, Germany.
  15. Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2006. "Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies," Department of Economics - Working Papers Series 959, The University of Melbourne.
  16. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus.
  17. Goodwin, Barry K. & Smith, Vincent H., 2005. "Harvest-Time Protein Shocks and Price Adjustments in U.S. Wheat Markets," 2005 Annual meeting, July 24-27, Providence, RI 19173, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  18. Bruinshoofd, Allard & Candelon, Bertrand, 2005. "Nonlinear monetary policy in Europe: fact or myth?," Economics Letters, Elsevier, vol. 86(3), pages 399-403, March.
  19. Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Discussion Papers in Economics at the University of Washington 0030, Department of Economics at the University of Washington.
  20. Andrea Beltratti & Claudio Morana, 2006. "Net Inflows and Time-Varying Alphas: The Case of Hedge Funds," ICER Working Papers 30-2006, ICER - International Centre for Economic Research.
  21. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  22. Pesaran, M. Hashem & Timmermann, Allan, 2009. "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 325-337.
  23. Frédérick Demers, 2003. "The Canadian Phillips Curve and Regime Shifting," Working Papers 03-32, Bank of Canada.
  24. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
  25. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
  26. Heinemeyer, Hans Christian, 2007. "The course of the great depression: a consistent business cycle dating approach," Discussion Papers 2007/14, Free University Berlin, School of Business & Economics.
  27. Thams, Andreas, 2007. "Inflation Transmission in the EMU: A Markov-Switching VECM Analysis," MPRA Paper 1643, University Library of Munich, Germany.
  28. 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.
  29. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany.
  30. Terence Mills & Ping Wang, 2003. "Regime shifts in European real interest rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 139(1), pages 66-81, March.
  31. Straubhaar, Thomas & Suhrcke, Marc & Urban, Dieter M., 2002. "Divergence - is it geography?," HWWA Discussion Papers 181, Hamburg Institute of International Economics (HWWA).
  32. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  33. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
  34. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
  35. Alvaro Escribano & Oscar Jorda, . "Improved Testing And Specification Of Smooth Transition Regression Models," Department of Economics 97-26, California Davis - Department of Economics.
  36. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
  37. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.
  38. 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.
  39. 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.
  40. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
  41. He, Changli & Teräsvirta, Timo & González, Andres, 2002. "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance 507, Stockholm School of Economics, revised 06 May 2004.
  42. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris West - Nanterre la Défense, EconomiX.
  43. Jaya Krishnakumar & David Neto, 2009. "Testing the "Inaction Corridor" in a Three-Regime TVECM," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.04, Institut d'Economie et Econométrie, Université de Genève.
  44. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA.
  45. repec:ebl:ecbull:v:5:y:2006:i:10:p:1-17 is not listed on IDEAS
  46. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
  47. Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2004. "Threshold Effects in the U.S. Budget Deficit," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 214-222, April.
  48. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
  49. Medeiros, Marcelo & Veiga, Alvaro, 2000. "A Flexible Coefficient Smooth Transition Time Series Model," SSE/EFI Working Paper Series in Economics and Finance 360, Stockholm School of Economics, revised 10 Feb 2000.
  50. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
  51. Bunzel, Helle & Iglesias, Emma M., 2006. "Testing for Breaks Using Alternating Observations," Staff General Research Papers 12694, Iowa State University, Department of Economics.
  52. Ang, Andrew & Timmermann, Allan G, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
  53. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  54. M. Jones, 2004. "The Möbius distribution on the disc," Annals of the Institute of Statistical Mathematics, Springer, vol. 56(4), pages 733-742, December.
  55. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
  56. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
  57. Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers 31, Department of Economics, College of William and Mary.
  58. Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 525-535.
  59. Luis Eduardo Arango & Luis Fernando Melo, . "Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models," Borradores de Economia 186, Banco de la Republica de Colombia.
  60. Pedro M.D.C.B. Gouveia & Denise R. Osborn & Paulo M.M. Rodrigues, 2008. "Comparing Seasonal Forecasts of Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 102, Economics, The Univeristy of Manchester.
  61. Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, . "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  63. 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.
  64. Donald W.K. Andrews & Inpyo Lee & Werner Ploberger, 1992. "Optimal Changepoint Tests for Normal Linear Regression," Cowles Foundation Discussion Papers 1016, Cowles Foundation for Research in Economics, Yale University.
  65. 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).
  66. Bruce E. Hansen, 1996. "Estimation of TAR Models," Boston College Working Papers in Economics 325., Boston College Department of Economics.
  67. António Afonso & João Tovar Jalles, 2011. "Growth and Productivity: the role of Government Debt," Working Papers Department of Economics 2011/13, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  68. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
  69. Holt, Matthew T. & Balagtas, Joseph V., 2009. "Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand," MPRA Paper 15331, University Library of Munich, Germany.
  70. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  71. Juan Toro & Natalia Fabra, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Economics Series Working Papers 136, University of Oxford, Department of Economics.
  72. Chen, Shan & Insley, Margaret, 2012. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 201-219.
  73. L. Deidda & B. Fattouh, 2001. "Non linearity between finance and growth," Working Paper CRENoS 200104, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  74. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  75. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper 9684, University Library of Munich, Germany.
  76. Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
  77. Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, School of Economics and Management, University of Aarhus.
  78. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  79. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, EconWPA, revised 01 Mar 2004.
  80. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  81. Masahito Kobayashi, 2005. "Testing for Volatility Jumps in the Stochastic Volatility Process," Asia-Pacific Financial Markets, Springer, vol. 12(2), pages 143-157, June.
  82. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
  83. Ying Liu, 2001. "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Working Papers 01-23, Bank of Canada.
  84. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
  85. Shirley Pledger & Carl Schwarz, 2002. "Modelling heterogeneity of survival in band-recovery data using mixtures," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(1-4), pages 315-327.
  86. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
  87. Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.
  88. Jaya Krishnakumar & David Neto, 2005. "Partial Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2005.04, Institut d'Economie et Econométrie, Université de Genève, revised Aug 2006.
  89. H. L. Leon & Serineh Najarian, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund.
  90. George Kapetanios & Yongcheol Shin, 2004. "GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks," ESE Discussion Papers 108, Edinburgh School of Economics, University of Edinburgh.
  91. Marco Barnabani, 1997. "Hypothesis testing when the information matrix is singular," Statistical Methods and Applications, Springer, vol. 6(1), pages 23-35, April.
  92. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  93. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2002. "Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia," Department of Economics - Working Papers Series 857, The University of Melbourne.
  94. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
  95. Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis.
  96. Delatte, Anne-Laure & Fouquau, Julien, 2009. "The Determinants of International Reserves in the Emerging Countries: a Non-Linear Approach," MPRA Paper 16311, University Library of Munich, Germany.
  97. Antonio Diez De Los Rios & René Garcia, 2011. "Assessing and valuing the nonlinear structure of hedge fund returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
  98. Lanouar Charfeddine & Dominique Guegan, 2008. "Is it possible to discriminate between different switching regressions models? An empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368358, HAL.
  99. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Universite de Montreal, Departement de sciences economiques.
  100. Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics 0401004, EconWPA, revised 05 Jul 2004.
  101. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  102. Andy Snell & George Kapetanios & Yongcheol Shin, 2004. "Testing for nonlinear cointegration between stock prices and dividends," Money Macro and Finance (MMF) Research Group Conference 2003 90, Money Macro and Finance Research Group.
  103. repec:fiu:wpaper:0406 is not listed on IDEAS
  104. Jesús Gonzalo & Jean-Ives Pitarakis, 2010. "Regime specific predictability in predictive regressions," Economics Working Papers we097844, Universidad Carlos III, Departamento de Economía.
  105. 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.
  106. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  107. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  108. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.
  109. Walter Enders & Gary Hoover, 2003. "The effect of robust growth on poverty: a nonlinear analysis," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1063-1071.
  110. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
  111. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  112. Bec Frédérique & Salem Melika Ben, 2013. "Inventory investment and the business cycle: the usual suspect," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 335-343, May.
  113. Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," NBER Working Papers 10583, National Bureau of Economic Research, Inc.
  114. Arie Preminger & Shinichi Sakata, 2007. "A model selection method for S-estimation," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 294-319, 07.
  115. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer, vol. 90(3), pages 439-456, September.
  116. Eric Girardin, 2004. "Regime-Dependent Synchronization of Growth Cycles between Japan and East Asia," Asian Economic Papers, MIT Press, vol. 3(3), pages 147-176.
  117. Nickel, Christiane & Vansteenkiste, Isabel, 2008. "Fiscal policies, the current account and Ricardian equivalence," Working Paper Series 0935, European Central Bank.
  118. repec:ebl:ecbull:v:6:y:2007:i:39:p:1-12 is not listed on IDEAS
  119. Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
  120. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers 4368, C.E.P.R. Discussion Papers.
  121. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
  122. repec:ebl:ecbull:v:5:y:2008:i:33:p:1-14 is not listed on IDEAS
  123. Vasco De & A. Gabriel & Artur C. B. Da Silva Lopes & Luis Nunes, 2003. "Instability in cointegration regressions: a brief review with an application to money demand in Portugal," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 893-900.
  124. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
  125. Julien Chevallier, 2012. "Cointegration between carbon spot and futures prices: from linear to nonlinear modeling," Economics Bulletin, AccessEcon, vol. 32(1), pages 160-181.
  126. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  127. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
  128. Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, School of Economics and Management, University of Aarhus.
  129. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, EconWPA.
  130. Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
  131. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
  132. Richard H. Clarida & Manuela Goretti & Mark P. Taylor, 2007. "Are There Thresholds of Current Account Adjustment in the G7?," NBER Chapters, in: G7 Current Account Imbalances: Sustainability and Adjustment, pages 169-204 National Bureau of Economic Research, Inc.
  133. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  134. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  135. Marjan Petreski, 2011. "A Markov Switch to Inflation Targeting in Emerging Market Peggers with a Focus on the Czech Republic, Poland and Hungary," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 57-75.
  136. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
  137. Donald W.K. Andrews & Werner Ploberger, 1994. "Testing for Serial Correlation Against an ARMA(1,1) Process," Cowles Foundation Discussion Papers 1077, Cowles Foundation for Research in Economics, Yale University.
  138. Richard C. Levin & Peter C. Reiss, 1989. "Cost-Reducing and Demand-Creating R&D With Spillovers," NBER Working Papers 2876, National Bureau of Economic Research, Inc.
  139. Sandy Suardi & O.T.Henry & N. Olekalns, . "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0206, School of Economics, University of Queensland, Australia.
  140. Jamie Gascoigne, 2004. "Estimating threshold vector error-correction models with multiple cointegrating relationships," Working Papers 2004013, The University of Sheffield, Department of Economics, revised Nov 2004.
  141. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  142. Frédérique Bec & Christian Gollier, 2009. "Assets Returns Volatility and Investment Horizon: The French Case," CESifo Working Paper Series 2622, CESifo Group Munich.
  143. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  144. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
  145. Jordan Rappaport, 2000. "Is the speed of convergence constant?," Research Working Paper RWP 00-10, Federal Reserve Bank of Kansas City.
  146. Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2012. "Testing for predictability in a noninvertible ARMA model," MPRA Paper 37151, University Library of Munich, Germany.
  147. Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão 570, Department of Economics PUC-Rio (Brazil).
  148. Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, EconWPA.
  149. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
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