This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime,...

This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test...

This paper considers the issue of bootstrap resampling in panel data sets. The availability of data sets with large temporal and cross-sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It...

In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model...

We propose a test for neglected nonlinearity that uses an alternative artificial neural network (ANN) specification to the one commonly used in the literature. We use radial basis functions for the "hidden layer" with basis function centres and radii chosen from the sample data set and selected...