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...

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...

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...

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...

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...

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...

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....

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...