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...

In this paper we introduce a seasonal version of the Solow-Swan growth model and acquire an empirical income convergence equation. We take this equation as a basis to investigate whether income convergence exists in an OECD sample. To do this, we propose the test statistics under various...

In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the degree of cross correlation in the error terms in combination...

In this paper, we have investigated the effects of Asia 97 crisis on Malaysian stock exchange market by using a nonlinear approach which gives a detailed analysis with respect to linear counterparts. Specifically, we are using generalized impulse response function (GIRF) in order to see the...

In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed...

Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in...

In this paper, we examine causal relationships among inflation rate, output growth rate, inflation uncertainty and output uncertainty for ten Central and Eastern European transition countries. For this purpose, we estimate a bivariate GARCH model that includes output growth and inflation rates...

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

This paper analyzes the empirical relationship between inflation and output growth using a novel panel data estimation technique, Panel Smooth Transition Regression (PSTR) model, which takes account of the non-linearities in the data. By using a panel data set for 6 industrialized countries that...

In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed...