We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...

We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from target levels. We consider the instrumental variables estimation of possibly...

Standard unit root tests are misspecified in case the variable of interest is stationary but displays asymmetric adjustment towards its long-run equilibrium and, consequently, may suffer from a lack of power against such alternatives. This observation recently has aroused interest in developing...