Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample...

The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear...

In the literature, some researchers found that the high persistence of the volatility can be caused by Markov regime switching. This concern can be reflected as a unit root problem on the basis of Markov switching models. In this paper, our main purpose is to provide a Bayesian unit root testing...

Long run convergence implies that the convergence hypothesis will be rejected if the income differential is not stationary. However, this definition is valid only if the catching-up process between the two countries is already over. If we take into account catching-up dynamics, then poorest...

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte...

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas critique and fails to take into account the inherent nonlinearities of the...

This paper presents the causal relationships between futures and spot prices of six metal and agriculture commodities in Chinese commodity market, using GC test, frequency domain approach proposed by Brietung and Candelon (2006) and Garbade–Silber (G–S) Model. Frequency domain approach...