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We develop in this paper simple geometrical methods to study local indeterminacy, bifurcations and stochastic (sunspot) equilibria near a steady state, in nonlinear two dimensional economic models. We present in particular a simple geometrical characterization of the support of stochastic...

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parameterization; and...

We have shown that Eaton's (1992) Markov chain is recurrent if and only if its conjugate partner is recurrent. This result may be viewed as an extension od Diebolt and Robert's (1994) Duality Principle. It it interesting from a theoretical standpoint in that Eaton's (1992) results can now be...

In this chapter we investigate empirical specification of smooth transition error correction models (STECMs). These models can be used to describe linear long-run relationships between nonstationary variables where adjustment towards equilibrium is nonlinear and can depend on exogenous...

Linear regression models have been used in a number of studies examining the presence or absence of incremental information contents in cash flow. The results of these studies have not been consistent. This paper draws attention to the critical issue of extreme observations in the data. Extreme...

This paper examines the influence of shocks in the Japanese Nikkei Index and in the U.S. S&P Index on the Australian All-Ordinaries Index. W present results from the application of three models - an autoressive linear model, a GARCH-M model and a non-linear neural network model.