Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful...

The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures...

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...

This paper proposes a variable addition test for exogeneity in threshold regression models with potentially endogenous right-hand-side variables. An accurate Monte Carlo study is undertaken and the results show the good finite sample properties of the suggested test.

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded...

In this paper we use the approximate bias expressions developed in Yu (2012) and Bao et al. (2013) to improve the testing of the ordinary least squares or quasi-maximum likelihood estimator of the mean reversion parameter in continuous time models. We follow the approach given in Iglesias and...

In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both...

In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...