This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s distinguishing characteristic is that a given agent’s behaviour is influenced by an aggregation of the views or actions of those around...

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 simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown...

This paper investigates GLS detrending procedures for unit root tests against nonlinear stationary alternative hypotheses where deterministic components are assumed present in the series under investigation. It is found that the proposed procedures have considerable power gains in a majority of...

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...

In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the...

This paper consider the GLS detrending procedure advanced by Elliott et al. (1996) for unit root tests against alternative hypotheses where the time series data under investigation follow either globally stationary SETAR or STAR processes with deterministic components being present. It is found...