Showing 1 - 10 of 35
In this paper, we propose a nonlinear cointegration test for heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model. We apply our tests for investigating cointegration relationship between energy consumption and economic growth for the G7...
Persistent link: https://www.econbiz.de/10011111608
Persistent link: https://www.econbiz.de/10008257336
Persistent link: https://www.econbiz.de/10008892192
In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the degree of cross correlation in the error terms in combination...
Persistent link: https://www.econbiz.de/10009202594
In this paper we introduce a seasonal version of the Solow-Swan growth model and acquire an empirical income convergence equation. We take this equation as a basis to investigate whether income convergence exists in an OECD sample. To do this, we propose the test statistics under various...
Persistent link: https://www.econbiz.de/10008473643
Persistent link: https://www.econbiz.de/10008347908
Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in...
Persistent link: https://www.econbiz.de/10005506056
This paper investigates the macroeconomic effects of terror by using a novel data set from Turkey for the period of 1987:1 to 2004:4. This research contributes to the literature by controlling for the possible non-linear and endogenous relationship between political conflict and economic...
Persistent link: https://www.econbiz.de/10005495968
The aim of this study is to search for a better optimization algorithm in applying unit root tests that inherit nonlinear models in the testing process. The algorithms analyzed include Broyden, Fletcher, Goldfarb and Shanno (BFGS), Gauss-Jordan, Simplex, Genetic, and Extensive Grid-Search. The...
Persistent link: https://www.econbiz.de/10011109468
This paper analyses the empirical relationship between inflation and growth using a panel data estimation technique, Multiple Regime Panel Smooth Transition Regression (MR-PSTR), which takes into account the nonlinearities in the data. By using a panel data set for 10 African countries that...
Persistent link: https://www.econbiz.de/10011165589