In this paper we give an account of the approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The...

Random field regression models provide an extremely flexible way to investigate nonlinearity in economic data. This article introduces a new approach to interpreting such models, which may allow for improved inference about the possible parametric specification of nonlinearity.

This paper explores the power of two tests for nonlinearity against spurious nonlinear regression. Results show that while the BDS test is susceptible to spuriousness, an approach introduced by Peña and Rodriguez [Peña, D. and Rodriguez, J., 2005, Detecting nonlinearity in time series by model...

This article explores the link between the real business cycle and core bank earnings. Using bank-level data and an estimation technique which corrects for weak instruments, evidence confirms that pre-provision Net Interest Income (NII) is determined by the term structure of interest rates...

Reports on the transition of the economy in Northwestern Russia ‐ the only part of Russia with a land border with the European Union and a land rich in natural resources ‐ from that of a command economy to that of a market‐based economy. Reports the findings of field work into the business...