Search Results - subject:"Nonlinear unit root"

Unemployment hysteresis in Australia: evidence using nonlinear and stationarity tests with breaks

Tiwari, Aviral - In: Quality & Quantity: International Journal of Methodology 48 (2014) 2, pp. 681-695

This study is an attempt to test the hysteresis versus the natural rate hypothesis in unemployment rate using time series data of the Australia covering the period 1978: 2–2010:12. For the analysis, we employed nonlinear as well as different linear tests (with incorporation of endogenously...

Persistent link: https://www.econbiz.de/10010843896

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

Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity

Su, Jen-Je; Cheung, Adrian; Roca, Eduardo - In: Economic Modelling 36 (2014) C, pp. 161-171

In spite of the extensive research which has already been undertaken, the issue as to whether Purchasing Power Parity (PPP) empirically holds, continues to be strongly debated. Existing studies have been criticized for their reliance on unit root tests which are deemed to suffer from certain...

Persistent link: https://www.econbiz.de/10011048822

Does Purchasing Power Parity hold? : new evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity

Su, Jen-je; Cheung, Adrian Wai Kong; Roca, Eduardo - In: Economic modelling 36 (2014), pp. 161-171

Persistent link: https://www.econbiz.de/10010412382

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

a nonlinear unit root. We also find evidence of a nonlinear cointegrating relationship between stock prices and …

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