This paper constructs tests for the presence of nonlinearity of unknown form in addition to a fractionally integrated, long memory component in a time series process. The tests are based on artificial neural network structures and do not restrict the parametric form of the nonlinearity. The...

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. The motivation for this development maybe be traced to the perceived possibility that processes following nonlinear models maybe mistakenly taken to be unit root or long-memory...

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

The paper discusses the evolution of economic development whilst examining the time series properties with two structural breaks for the Libyan economy using annual time series from 1970 to 2007. Both the Augmented Dickey-Fuller (ADF) and the Lee and Strazicich (2003) unit root tests are used to...

The debate concerning the mean reverting nature of the consumption-income ratio is revisited. The existing literature is extended by allowing for the as yet unconsidered possibility of asymmetric mean reversion in a collection of OECD economies. Using specifically derived finite-sample critical...

This paper examines the major determinants of GDP growth in Iran using annual time series data spanning from 1960 to 2003. The Iranian economy has been subject to a multitude of structural changes and regime shifts during the sample period. Thus, time series properties of the data are first...

This paper analyzes whether the Law of One Price (LOOP) holds in the housing market of five metropolitan areas of South Africa, namely Cape Town, Durban, Greater Johannesburg, Port Elizabeth/Uitenhage and Pretoria. We test the existence of LOOP using the efficient unit root tests proposed by...

In this paper, we build a model for the yield curve in Germany, from 1975 to 2001, and use it to test the Lucas Critique. We provide a first application of the new general-to-specific automatic model selection algorithm embodied in PcGets to term structure odeling, and use new super exogeneity...

This paper investigates the impact of the Australia-New Zealand Closer Economic Relations (CER) Trade Agreement on bilateral trade of each member country by using historical time series data before and after the implementation of the CER. We determined the existence of endogenously determined...

This paper develops theoretical results for the estimation of radial basis function neural network specifications, for dependent data, that do not require iterative estimation techniques. Use of the properties of regression based boosting algorithms is made. Both consistency and rate results are...