The trends estimated by the Hodrick–Prescott (HP) filter are smooth by design and it is not easy to pinpoint their change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved components model with error terms of mixtures of normal...

This paper explores some properties of periodically collapsing bubbles, which are a very popular model in the bubbles literature. We first demonstrate that complicated nonlinear bubbles can be represented as a time-varying parameter linear model of order 1. We demonstrate that the bubbles are...

Much interest has been paid recently to the nonlinear cointegrating relations existing among economic variables. Various testing procedures are already available to test for the existence of nonlinear cointegration. For example, Breitung (2001) proposes rank tests and his testing procedure has...

The U.S. unemployment rate is generally regarded as nonlinear. In this study, we show that if there had been no miners' general strike in October of 1949, and if the aggregate unemployment rate had been 0.3% lower during that month, the 1948-2002 U.S. unemployment rate would have been linear....

Nonlinear models, especially threshold autoregressive [TAR] and exponential smooth transition autoregressive [ESTAR] classes, are widely applied for modeling real exchange rates in order to examine the validity of purchasing power parity [PPP]. Even though the nonlinear models are theoretically...

Recent empirical findings show that post-war real interest rates are quite persistent and that they also contain a large number of structural changes in their means. In this study, we also find concurring results for real interest rates from thirteen industrialized countries. We show, however,...