Using the non-parametric rank tests proposed by Breitung (2001), we set out in this study to determine whether any non-linear long-run equilibrium relationship exists between the stock and real estate markets of China. We go on to adopt the threshold error-correction model (TECM) to determine...

The objective of this study is to provide evidences on the relationship between Renminbi (RMB) exchange rate and macroeconomic variables in China, as well as guidelines for reform of RMB exchange rate regime. The long-run equilibrium relationship between RMB exchange rate and macroeconomic...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size,...