Search Results - subject:"Nonlinear Unit Root Tests"

Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries

Kisswani, Khalid; Nusair, Salah - In: Economic Change and Restructuring 47 (2014) 3, pp. 155-186

smooth transition autoregression-type non-linearity. Moreover, nonlinear unit root tests reveal evidence of nonlinear … rates. We test for convergence relative to the U.S. and Japan, using quarterly data 1973:2–2011:3, employing nonlinear unit … root tests. The linearity test shows evidence of nonlinearity in all the cases. In most cases, we find evidence of logistic …

Persistent link: https://www.econbiz.de/10010865877

Nonlinear convergence in Asian interest and inflation rates : evidence from Asian countries

Kisswani, Khalid M.; Nusair, Salah A. - In: Economic change and restructuring : empirical and … 47 (2014) 3, pp. 155-186

Persistent link: https://www.econbiz.de/10010408377

The predictive power of the present value model of stock prices

Ryan, Geraldine - Society for Computational Economics - SCE - 2006

Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...

Persistent link: https://www.econbiz.de/10005342899

Non-linearities in the dynamics of oil prices

Kisswani, Khalid M.; Nusair, Salah A. - In: Energy Economics 36 (2013) C, pp. 341-353

Examining stationarity is of particular importance and represents the first step in empirical time-series research. Non-stationarity invalidates many of the results obtained from standard techniques and, therefore, requires special treatment. Because oil prices play an important role in...

Persistent link: https://www.econbiz.de/10010616852

Real exchange rate dynamics in transition economies : a nonlinear analysis

Nusair, Salah A. - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 188-204

Persistent link: https://www.econbiz.de/10015179961

Non-linearities in the dynamics of oil prices

Kisswani, Khalid M.; Nusair, Salah - In: Energy economics 36 (2013), pp. 341-353

Persistent link: https://www.econbiz.de/10009724688

An empirical analysis of mean reversion of the S&P 500’s P/E ratios

Becker, Ralf; Lee, Junsoo; Gup, Benton - In: Journal of Economics and Finance 36 (2012) 3, pp. 675-690

Persistent link: https://www.econbiz.de/10010848272

Nonlinear adjustment of Asian real exchange rates

Nusair, Salah - In: Economic Change and Restructuring 45 (2012) 3, pp. 221-246

We utilize nonlinear models to examine the stationarity of Asian real exchange rates over the period from 1980:10 to 2007:09, using the US, Japan, and China as base countries. We find evidence of nonlinearity in most cases. Contrary to widely-held belief that the behavior of the real exchange...

Persistent link: https://www.econbiz.de/10010988794

Linear and nonlinear TAR panel unit root analyses for solid biomass energy supply of European countries

Bilgili, Faik - In: Renewable and Sustainable Energy Reviews 16 (2012) 9, pp. 6775-6781

Biomass is one of the major sources of renewable energy in the World. This paper aims at observing primary biomass energy supply in some EU countries within periods1971–2009 and 1982–2009. Following related two panel data sets for biomass in EU, this work employs linear models and nonlinear...

Persistent link: https://www.econbiz.de/10010594791

Nonlinear adjustment of Asian real exchange rates

Nusair, Salah A. - In: Economic change and restructuring : empirical and … 45 (2012) 3, pp. 221-246

Persistent link: https://www.econbiz.de/10009581704