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A Nonlinear Panel Model of Cross-sectional Dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - School of Economics and Finance, Queen Mary - 2010

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions...

Persistent link: https://www.econbiz.de/10008674296

A nonlinear panel model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010

Persistent link: https://www.econbiz.de/10010280753

An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests

Chortareas, Georgios; Kapetanios, George; Uctum, Merih - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 1, pp. 1200-1200

Using a new methodology that allows nonlinearities, we find frequent support for external debt sustainability in a number of Latin American countries. Our findings reverse the results for several countries, obtained with traditional unit-root tests and present a richer framework for evaluating...

Persistent link: https://www.econbiz.de/10004966092

Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses

Kapetanios, George - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 2, pp. 1099-1099

This paper introduces bootstrap neural network pure significance tests for the no cointegration hypothesis against nonlinear cointegration alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

Persistent link: https://www.econbiz.de/10004966243

An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests

Chortareas, Georgios; Kapetanios, George; Uctum, Merih - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 1, pp. 1200-1200

Persistent link: https://www.econbiz.de/10005584869

Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses

Kapetanios, George - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 2, pp. 1099-1099

Persistent link: https://www.econbiz.de/10005246315

Threshold models for trended time series

Kapetanios, George - In: Empirical Economics 28 (2003) 4, pp. 687-707

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and...

Persistent link: https://www.econbiz.de/10005612914

Nonlinear Autoregressive Models and Long Memory

Kapetanios, George - School of Economics and Finance, Queen Mary - 2004

This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

Persistent link: https://www.econbiz.de/10005106351

Kapetanios, George; Shin, Yongcheol - School of Economics and Finance, Queen Mary - 2002

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...

Persistent link: https://www.econbiz.de/10005106352

Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean

Blake, Andrew P.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

misspecification of the conditional mean may lead to spurious rejections of the null hypothesis of no ARCH. Nonlinearity is a prime … example of this phenomenon. There is little work on the extent of the effect of neglected nonlinearity on the properties of … neglected nonlinearity. Monte Carlo evidence shows that the problem is serious and that the new methods alleviate this problem …

Persistent link: https://www.econbiz.de/10005106375