This study tests whether changes in the short-term interest rate can best be modelled in a non-linear fashion. We argue that there are good theoretical and empirical reasons for adopting this strategy. Using monthly data from several industrialized countries, namely Canada, Germany, Sweden,...

This study tests whether changes in the short-term interest rate can best be modelled in a non-linear fashion. We argue that there are good theoretical and empirical reasons for adopting this strategy. Using monthly data from several industrialized countries, namely Canada, Germany, Sweden,...

In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...

This paper explores the changes on productivity growth, economies of scale and market discipline experienced by a selected number of Spanish manufacturing industries as a result of the 1986 - 92 integration of Spain into the European Union. Since the intra-union trade liberalization process...

Simulations are used to check the probability of detecting a time-varying equilibrium correction by applying the existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the nonlinearity, and the Johansen cointegration test and the Lin and...

This paper considers index models, such as neural network models and smooth transition regressions, with integrated regressors. These are the models that can be ued to analyze various nonlinear relationships among nonstationary economic time series. Asymptotics for the nonlinear least squares...