This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

In this paper, we examine nonlinear interrelationship between energy consumption and output level for a panel of G7 countries. For this purpose, we propose a nonlinear cointegration test in heterogeneous panels for testing the presence of a co-integrating relationship that follows a globally...

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and...

A frequent criticism of unit root tests concerns the poor power and size properties that many of such tests exhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey...

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis, and psychology, just to mention a few examples. In many cases, the data employed to estimate such estimations are time series that may exhibit stochastic nonstationary...

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...

Declining inflation persistence has been documented in numerous studies. When such series are analyzed in a regression framework in conjunction with other persistent time series, spurious regressions are likely to occur. We propose to use the coefficient of determination R2 as a test statistic...

Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

In this paper, a partial adjustment and adaptive expectation mechanism are applied to analyze the supply response of natural rubber in Cambodia. The planted area and average yield are set as the supply response. Data from 1990-2008 were used in the analysis. The factor that had the most positive...