An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...

The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity...

The topic of convergence is at the heart of a wide-ranging debate in the growth literature. Empirical studies of convergence differ widely in their theoretical backgrounds, empirical specifications and in their treatment of cross-sectional heterogeneity. Despite these differences, a rate of...

In recent years there has been a growing interest in the impact of inequality on economic growth. Both theoretical and empirical approaches have produced ambiguous results on sign and size of this relationship. Although there is a considerable part of the literature that considers inequality...

The empirical economic growth literature is criticized for its lack ofrobustness. For different definitions of robustness, conclusions vary from 'almost everycorrelation is fragile' to 'a substantial number of explanatory variables are robust.' Were-analyze the empirical results of the economic...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...