This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...

Tests for a unit root using three-regime threshold autoregressive (TAR) models play a significant role in the empirical analysis of some economic theories. This article compares the powers of recently proposed unit root tests in three-regime TAR models using Monte Carlo experiments. The...

This paper derives the Nash-equilibrium degrees of commitment to a partnership where lack of full commitment fuels suspicion and increases potential losses for partners.

This paper employs annual time series data (1960-2003) and the ZA (Zivot and Andrews, 1992) and the LP (Lumsdaine and Papell, 1997) approaches to determine endogenously the more likely time of major structural breaks in various macroeconomic variables of the Iranian economy. We have considered...

This paper investigates the stationarity of the Federal Funds Rate. It contributes to the existing empirical literature in two ways. First, it explores both the presence of unit root and structural changes in the federal funds rate monthly data, by allowing for interaction between these two...

This paper tests the hysteresis hypothesis in unemployment for 13 Latin American countries covering the period 1980-2005. The tests exploit the time series and the cross sectional variation of the series, and allows for cross section dependence and a different number of endogenously determined...

Granger causality methodology is used to investigate lead-lag relationships between construction activity and aggregate economy. Using data from Hong Kong, the results of this paper suggest strongly that the GDP tends to lead the construction flow not vice versa. Our finding is contrary to the...

This paper investigates statistically the existence of a long-run relationship between public expenditure and GNP (Wagner’s Law) using data for Turkey over the period 1950-1990. Recent advances in time series analysis have permitted the investigation of the long-run relationship between public...