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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

Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations

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

specifications for the dynamic model underlying them. It is clear that in the presence of nonlinearity standard tests of structural …

Persistent link: https://www.econbiz.de/10005106377

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

Chortareas, Georgios; Kapetanios, George; Uctum, Merih - School of Economics and Finance, Queen Mary - 2003

Using a new methodology that allows for nonlinearities, we find frequent support for sustainability in the debt of a set of Latin American countries. Our findings overturn results obtained with traditional unit-root tests and provide a more realistic alternative to evaluate the external solvency...

Persistent link: https://www.econbiz.de/10005106389

Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset

Kapetanios, George; Tzavalis, Elias - School of Economics and Finance, Queen Mary - 2005

This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...

Persistent link: https://www.econbiz.de/10005106413

Testing for Neglected Nonlinearity in Long Memory Models

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

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. The … both long memory and nonlinearity. We test against the possibility that the process ut in the model (1 …

Persistent link: https://www.econbiz.de/10005106415

Testing for Nonstationary Long Memory against Nonlinear Ergodic Models

Kapetanios, George; Shin, Yongcheol - School of Economics and Finance, Queen Mary - 2003

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This …

Persistent link: https://www.econbiz.de/10005106422

Testing for Neglected Nonlinearity in Cointegrating Relationships

Blake, Andrew P.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2004

This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No … assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the …

Persistent link: https://www.econbiz.de/10005106457

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