In the present paper we consider the general class of first-order nonlinear models. The main contributions concern primerly a generalization of the conditions for geometric ergodicity presented in Ferrante et al. (2003). The obtained result is then applied to two classes of first-order nonlinear...

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and...

A linear econometric error correction model (ECM) model is built, based on short interest rates, gross domestic product (GDP) growth expectations and inflation differentials, in order to explain the euro/dollar exchange rate dynamics and provide reliable forecasts. This specification performs...

A simple framework is presented in which, each period, each of N individuals chooses among K alternatives. Individual actions are interrelated through a social network which arrays the strength of influence of each person on each other person. Emphasis is on the role of the network. The...

In this paper, we propose a flexible smooth transition autoregressive (STAR) model with multiple regimes and multiple transition variables. We show that this formulation can be interpreted as a time varying linear model where the coefficients are the outputs of a single hidden layer feedforward...