Showing 1 - 10 of 166
This study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a break from...
Persistent link: https://www.econbiz.de/10005452012
Persistent link: https://www.econbiz.de/10004971097
A number of recent studies have found evidence of a nonlinear term structure relationship in the U.S. This paper extends earlier work and develops tests of the null hypothesis of no cointegration that allow for linear or asymmetric (or symmetric) threshold cointegration under the alternative...
Persistent link: https://www.econbiz.de/10010857400
Persistent link: https://www.econbiz.de/10005107519
Recent research has found that trend-break unit root tests derived from univariate linear models do not support the hypothesis of long-run purchasing power parity (PPP) for US dollar real exchange rates. In this paper univariate smooth transition models are utilized to develop unit root tests...
Persistent link: https://www.econbiz.de/10005582490
New tests, based on smooth transition autoregressive models, for mean reversion in time series of real exchange rates are proposed. One test forces mean reversion to be symmetric about the integrated process central case, while the other permits asymmetry. The tests are applied to monthly series...
Persistent link: https://www.econbiz.de/10005813752
Tests of forecast encompassing are used to evaluate one-step-ahead forecasts of S&P Composite index returns and volatility. It is found that forecasts over the 1990s made from models that include macroeconomic variables tend to be encompassed by those made from a benchmark model which does not...
Persistent link: https://www.econbiz.de/10005596922
This paper investigates the existence of threshold cointegration between real exchange rates and real interest rate differentials. Unlike previous work, which generally fails to find evidence of a long-run relationship employing linear models, we employ tests of the null hypothesis of no...
Persistent link: https://www.econbiz.de/10005698543
Previous empirical work employing smooth transition autoregressive (STAR) models has found that U.S. dollar real exchange rates are nonlinear mean reverting processes. We utilise tests developed from time-varying smooth transition autoregressive (TV-STAR) models to re-examine dollar-based rates....
Persistent link: https://www.econbiz.de/10005311445
We investigate the order of integration of aggregate wage, price and productivity measures for the USA. Our investigation differs from previous studies as we employ recently developed tests that allow, under the alternative hypothesis, for structural change between periods in which the data are...
Persistent link: https://www.econbiz.de/10005251980