In regressions involving integrable functions we examine the limit properties of IV estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be either I(0) or nearly integrated (NI) processes. We show that this kind of nonlinearity in the...

Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009). The study aims to analyze the nonlinear behavior and leptokurtic distribution in petrol prices by utilizing a newly developed family of...

We investigate the relationship between board independence and firm's long-term performance, as measured by Tobin's q. In a longitudinal sample of 1,143 firms in the S&P 1500 list from 1997 through 2006, we find some evidence of a significant nonlinear relationship. Two of three nonlinear models...

Classical growth convergence regressions fail to account for various sources of heterogeneity and nonlinearity. While recent contributions are able to address either the one or the other, we present a simple two-step method to address both issues. Based on a slightly augmented version of a...

This paper improves the accuracy and speed of particle filtering for non-linear DSGE models with potentially non-normal shocks. This is done by introducing a new proposal distribution which i) incorporates information from new observables and ii) has a small optimization step that minimizes the...

Consistently fitting vanilla option surfaces is an important issue when it comes to modeling in finance. Local volatility models introduced by Dupire in 1994 are widely used to price and manage the risks of structured products. However, the inconsistencies observed between the dynamics of the...

This thesis utilizes modern Bayesian tools to evaluate the forecasting performance of two of the most widely used nonlinear time series models of post-war US GDP, the Markov Switching (MS) model and the Self-Exciting threshold autoregressive (SETAR) model. We develop a clear, empirical ground...

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...