This paper proposes an efficient estimation method for Band Threshold Autoregressive (Band-TAR) models. Standard maximum-likelihood algorithms cannot be used here because the log-likelihood function is not differentiable with respect to the threshold parameter, and one commonly uses a grid...

The use of GLS to deal with cross-section dependence in panels is not feasible where N is large relative to T since the disturbance covariance matrix is rank deficient. Neither is it the appropriate response if the dependence results from omitted global variables or common shocks correlated with...

This study indirectly addresses the issue of potential nonlinearities in real exchange rate adjustment for 18 OECD economies 1973-1998 using recent developments in the theory of nonparametric cointegration. While the standard Johansen tests yield mixed evidence, the results from a new...