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Threshold models for trended time series

Kapetanios, George - In: Empirical Economics 28 (2003) 4, pp. 687-707

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and...

Persistent link: https://www.econbiz.de/10005612914

Performance of periodic time series models in forecasting

Herwartz, Helmut - In: Empirical Economics 24 (1999) 2, pp. 271-301

performance of competing models in forecasting is used to assess the adequacy of a specific model. To account for nonstationarity … considerably but in most cases under study this model class involves a loss in ex-ante forecasting relative to nonperiodic models … and Swedish data forecasting exercises yield a unique recommendation of unit roots in consumption and income data which is …

Persistent link: https://www.econbiz.de/10005612971

Nonlinearity in dynamic adjustment: Semiparametric estimation of panel labor supply

Li, Qi; Kniesner, Thomas J. - In: Empirical Economics 27 (2002) 1, pp. 131-148

We estimate a semiparametric dynamic panel data model by the local linear kernel method and we interpret the slope of the nonparametric component function as a varying slope coefficient. Thus, the slope coefficient is a smooth, but otherwise unknown, function of some of the regressors. A Monte...

Persistent link: https://www.econbiz.de/10005382200

Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis

Girardin, Eric; Sarno, Lucio; Taylor, Mark P. - In: Empirical Economics 25 (2000) 2, pp. 351-368

This paper examines the effect of financial deregulation on consumption expenditure in France during the period 1970-1993. A nonlinear model for consumption which allows for liquidity constraints through a time-varying parameter dependent on a proxy for financial deregulation is estimated using...

Persistent link: https://www.econbiz.de/10005382230

Nonlinear Phillips curve, NAIRU and monetary policy rules

Huh, Hyeon-seung; Lee, Hyun; Lee, Namkyung - In: Empirical Economics 37 (2009) 1, pp. 131-151

Persistent link: https://www.econbiz.de/10005061348

An Investigation of the Effects of Data Transformation on Nonlinearity

Marrocu, Emanuela - In: Empirical Economics 31 (2006) 4, pp. 801-820

Persistent link: https://www.econbiz.de/10005758364

The order of integration for quarterly macroeconomic time series: A simple testing strategy

Lopes, Artur C. B. da Silva - In: Empirical Economics 28 (2003) 4, pp. 783-794

An empirical example and a simulation study show that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration for quarterly macroeconomic time series. In fact, it is shown that when that order is too high, one may get (spurious)...

Persistent link: https://www.econbiz.de/10005382241

The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function

Wüger, Michael; Thury, Gerhard - In: Empirical Economics 26 (2001) 2, pp. 325-341

This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a …

Persistent link: https://www.econbiz.de/10005382296

Spurious deterministic seasonality and autocorrelation corrections with quarterly data: Further Monte Carlo results

Lopes, Artur C. B. da Silva - In: Empirical Economics 24 (1999) 2, pp. 341-359

results is that one should not try to measure the importance of deterministic seasonality nor test for its presence in the …

Persistent link: https://www.econbiz.de/10005382481

Deterministic seasonality in Dickey–Fuller tests: should we care?

Lopes, Artur Silva - In: Empirical Economics 31 (2006) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10005382490