Using a standard 4-variable linear vector error correction model (VECM), we first show that the null hypothesis of linearity can be strongly rejected against the alternative of smooth transition autoregressive nonlinearity. An important result from this stage of the analysis is that the...

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest...

In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification...

We address the issue of time varying persistence of shocks to macroeconomic time series variables by proposing a new and parsimonious time series model. Our model assumes that this time varying persistence depends on a linear combination of lagged explanatory variables, where this combination...

We address the issue of time varying persistence of shocks to macroeconomic time series variables by proposing a new and parsimonious time series model. Our model assumes that this time varying persistence depends on a linear combination of lagged explanatory variables, where this combination...

This paper examines the power properties of several linearity tests applied in time-series analysis. The tests are the ones Lee et al.(1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results generally...

We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the...