Economic models that incorporate expectations require non causal time series theory. We provide a general method useful to solve in closed form any forward linear rational expectations multivariate model. An anticipative VARMA model is likely to explain a behavioral relation were a tentative...

The paper uses a threshold cointegration methodology to explore the properties of long-run purchasing power parity (PPP) in the Pacific nations. Using Japan and the USA as base countries, it is shown that long-run PPP holds for most Asian countries but that the adjustment mechanism is...

Previous research has shown that economic growth should help to reduce the rate of poverty. However, a number of recent studies have found that the economic expansion of the 1980s had no statistically significant effect on aggregate poverty. It is shown that both a Threshold regression and a...

This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey-Fuller tests emerge as a special case....

Choice-theoretic models describe economic behavior of individuals who maximize benefits and minimize costs. Analysis leads to the testable behavior of terrorists, while government policy can raise the costs and reduce the benefits.

This article applies a threshold autoregression (TAR) model to a casualties time series to show that the autoregressive nature of such events depends on the level of terrorism at the time of a shock. Following a shock, persistence of heightened attacks characterizes low-terrorism regimes, but...

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