This paper assesses duration-specific treatment effects of fixed currency regimes on bilateral trade along a duration path of up to 25 years. We find that country-pairs with fixed exchange rate regimes trade more, but only after about 8 years.

This paper uses quantile regression techniques to investigate the temporal dependence patterns of major exchange rates around the globe. Specifically, we estimate quantile autoregressive models for daily exchange rate returns of the USD/EUR, USD/JPY, USD/GBP, USD/AUD, USD/CHF and USD/CAD...

A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM...

In this paper, we study the functional central limit theorem (FCLT) for the infinite-order heterogeneous autoregressive model of realized volatility (HAR(∞)). We prove under proper assumptions that the process is L2-NED and then obeys the FCLT. As an application of the FCLT, we derive the...

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...

In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational...

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

This paper examines the asymmetric response of the underground economy (UE) in Taiwan to an effective tax rate change. The UE size in Taiwan from 1962 to 2003 is estimated using a cash deposit ratio (CDR) approach and a currency demand approach. The impact of an increase in the effective tax...

In this paper we consider testing for a unit root in the possible presence of a trend break at an unknown time. Zivot and Andrews (1992) [Journal of Business and Economic Statistics 10, 251–270] proposed using the infimum of t-ratio Dickey–Fuller statistics across all candidate break points...

The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...