The paper aims at assessing the forecast risk and the maximum admissible forecast horizon for the non-systematic component of inflation modeled autoregressively, where a distortion is caused by a simple first-order bilinear process. The concept of the guaranteed upper risk of forecasting and the...

The paper focuses on the decomposition of inflation persistence into the linear and nonlinear components. The hypothesis is that the nonlinear component of inflation persistence results from a technological shock and might positively contribute to economic growth. The microfoundations are...

The paper introduces a t-ratio type test for detecting bilinearity in a stochastic unit root process. It appears that such process is a realistic approximation for many economic and financial time series. It is shown that, under the null of no bilinearity, the tests statistics are asymptotically...

In the present note we study the threshold first-order bilinear model X(t)=aX(t-1)+(b11{X(t-1)c}+b21{X(t-1)[greater-or-equal, slanted]c})X(t-1)e(t-1)+e(t), t[epsilon]N where {e(t), t[epsilon]N} is a sequence of i.i.d. absolutely continuous random variables, X(0) is a given random variable and a,...