This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are...

The purpose of this paper is to evaluate comparability of Australian and Korean accounting data in their predictive power and usefulness in business failure prediction models. To this end, the predictive ability of total 52 individual financial ratios is assessed for the sample from each...

This paper investigates the relationships among real, monetary and financial variables in the Australian economy using seasonally unadjusted monthly data series spanning the period January 1978 to June 1994.

Recent work has suggested plant level heterogeneity and discrete production processes can produce problems for estimation. A structural model of discrete production decisions by heterogeneous plants is constructed and, as a case study, estimated for the US Portland cement industry. In...

This paper specifies a vertically differentiated products model for a product with a discrete/continuous choice. The model is easily estimated with the relatively limited data used in classical demand equation estimation, supplemented by readily available market characteristics data. The model,...

Since an analysis of seasonal fluctuation appeared to shed light on the nature of business cycles, testing for seasonal pattern in time series has been given considerable attention in the recent literature. It is also well-known that many economic and financial time series exhibit strong...

There as been on-going debate and empirical investigation in the literature as to whether or not the term structure contains information about future inflation. In this paper, the authors present new evidence about the information in the term structure of interest rates about future inflation in...

It has been argued that research on market efficiency should be evaluated in terms of whether it improves our ability to predict the time series of security returns. Much recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial...