In this paper, we propose a nonlinear cointegration test for heterogeneous panels where the alternative hypothesis is an exponential smooth transition (ESTAR) model. We apply our tests for investigating cointegration relationship between energy consumption and economic growth for the G7...

This paper examines whether the preliminary releases of GDP incorporate efficiently all available information or the preliminary estimates contain information that can be useful in predicting forthcoming GDP revisions. Forecast rationality tests are applied to distinguish between these two...

Being able to correctly characterise an observed time series into its separate difference stationary and trend stationary regimes, should they exist, has important implications for effective model building and forecasting in economics and finance. Existing ratio-based statistics test the null...

Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over-smoothing and discarding pertinent information. In this...

In this paper I investigate the asymptotic behavior of tests for problems with locally asymptotically quadratic likelihood. I present necessary and sufficient conditions for a test to be admissible. Even without these restrictive parametric assumptions, I can show that certain common procedures...

Tests for structural change play an important role in macroeconomics and international finance. We investigate the empirical performance of the Bai and Perron (1998) multiple structural change tests and show that the use of their critical values may cause severe size distortions in persistent...

Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

In this paper a set of ten different single-equation models of household energy demand is being analyzed. These simple models are being derived by the imposition of linear parameter restrictions on a fairly general autoregressive distributed lag (ADL) model in log-linear form. Household energy...