The empirical adequacy of linear AR and nonlinear SETAR models of trend-stationary and difference-stationary representations of output for Canada, Germany, Japan, the UK and the US are appraised. Test results suggest the presence of linear model residual structure of some form for all series,...

The time series properties of unemployment rates for Germany, Japan, the UK and the US are re-examined. Evidence of nonlinear structure in the residuals of the most parsimonious linear ARMA models is reported for all countries except Japan. Modelling this nonlinearity using SETAR models suggests...

The paper appraises the in-sample and out-of-sample adequacy of linear AR and nonlinear SETAR models of unemployment rates for Germany, Japan, the UK and the US. Tests are reported for the presence and specification of threshold nonlinearities, SETAR model estimates, limiting dynamic properties...

Skewness of return has been suggested as a reason why agents might choose to gamble, ceteris paribus, in cumulative prospect theory (CPT). We investigate the relationship between moments of return in two models where agents choices over uncertain outcomes are determined as in CPT. We illustrate...

We show that in principal only a small degree of probability distortion is necessary for agents to exhibit the Allais paradox. We also show that the choices observed in the Allais experiments employing small real payoffs cannot be explained by Cumulative Prospect Theory without the assumption of...

In two recent contributions Lothian and Taylor, and Cuddington and Liang, produced empirical evidence that annual data for the dollar-sterling real exchange rate spanning two centuries exhibited a non-linear deterministic trend. This trend could be proxying Harrod-Balassa-Samuelson effects....

Bookmakers practise a type of product bundling. To bet a horse for a place a punter has to bet an equal amount for a win. The returns to the place component of the bet are determined by a rule of thumb. This paper examines whether the product bundling negates a betting strategy that endeavours...

This article extends the results of Byers et al. (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ARFIMA(0, d, 0) model, though with somewhat smaller values of the long memory...

Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated non-linear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP 'puzzle'....