This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test...

This paper evaluates Czech economic development during 2001 and is supplemented by the predictions of basic economic indicators for 2002 and 2003. This article is divided in several parts. In the beginning we focus on economic growth, including a marginal analysis of GDP and industrial...

This paper evaluates Czech economic development during 2001 and is supplemented by the predictions of basic economic indicators for 2002 and 2003. This article is divided in to several specific parts. In the beginning we focus on economic growth, including a marginal analysis of GDP and...

This paper considers regression-based test criteria for the hypothesis of conditional variance nonstationary in the logarithmic family of GARCH processes. The tests are based on teh ARMA representations that appropriate nonlinear transformations of GARCH-type processes admit. Simulation...

This paper considers the issue of testing for symmetry of the business cycle. It is demonstrated that findings of symmetry should be interpreted with caution since tests tend to have low power to detect asymmetries when applied to data that have been filtered to isolate their stationary...

When the hypothesis of linearity of a univariate time series model is tested using a battery of tests for neglected nonlinearity, the probability of one or more tests' leading to a false rejection increases with the number of tests being performed. This paper discusses how this undesirable...

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US|UK data, it is shown that the UFER...

Considerable attention has been directed in the recent finance and economics literature to issues concerning the effects on company failure risk of changes in the macroeconomic environment. This paper examines the accounting ratio-based and macroeconomic determinants of insolvency exit of UK...