Empirically, the sum of GARCH parameter estimates is found to be close to unity, suggesting that the conditional volatility of most stock return data are likely to follow an integrated GARCH (IGARCH) process. However, such an extremely high persistence in unconditional variance may be overstated...

This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime,...

In this paper we propose a direct testing procedure to detect the presence of linear unit root against geometrically ergodic process defined by self exciting threshold autoregressive (SETAR) model with three regimes. Assuming that the process follows the random walk in the corridor regime, the...

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of a particular form of nonlinear ergodic processes; namely, exponential smooth...

This paper proposes a nonlinear panel data model which can generate endogenously both `weak' and `strong' cross-sectional dependence. The model's distinguishing characteristic is that a given agent's behaviour is influenced by an aggregation of the views or actions of those around them. The...

This paper proposes a simple direct testing procedure to distinguish a linear unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. We derive the asymptotic null distribution of the Wald statistic, and show that it does not depend on unknown...

In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the...

This paper generalizes the existing cointegration analysis literature in two respects. Firstly, the problem of efficient estimation of vector error correction models containing exogenous (1) variables is examined. The asymptotic distributions of the (log- )likelihood ratio statistics for testing...