The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates. An AR(p) model was used to remove any linear structure from the series. Strong evidence in favour of non-linearity was found in the case of Canada. The result for the US is not so...

This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are...

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...

This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting...

The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we...

Most of the existing structural-change models presume that the impact of a change is instantaneous and occurs at the same time for all individuals. In this paper, we develop a new structural-change model to measure the lag length between the time when an economic crisis breaks out and the time...

The real GDP series of sixteen European countries along with Japan, Canada and the US are examined in this paper by means of fractional integration techniques. The results crucially depend on how we specify the I(0) disturbances, as white noise or autoregressions. Thus, in the former case the...

This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs...

The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we...