This study uses the standard Augmented Dickey-Fuller (ADF) linear test and a new nonlinear test to model the behavior of Real Effective Exchange Rate (REER) for five middle income economies and an oil-producing country. Using monthly data from 1982M1 to 2006M1, the estimation results indicate...

The current account-interest rate relationship has been extensively investigated, but always assuming that it is linear. In this paper we examine the linearity versus nonlinearity issue with reference to this relationship in 11 OECD countries, and find overwhelming evidence in favour of...

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes

This chapter uses the nonlinear difference-in-difference (NL-DID) methodology developed by Athey and Imbens (2006) to estimate the effects of a treatment program on the entire distribution of an outcome variable. The NL-DID estimates the entire counterfactual distribution of an outcome variable...

Nonlinear panel data models arise naturally in economic applications, yet their analysis is challenging. Here we provide a progress report on some recent advances in the area. We start by reviewing the properties of random-effects likelihood approaches. We emphasize a link with Bayesian...