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Semiparametric sieve-type GLS inference in regressions with long-range dependence
Kapetanios, George (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003428547
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Forecast performance of nonlinear error-correction models with multiple regimes
Psaradakis, Zacharias G.; Spagnolo, Fabio - In: Journal of forecasting 24 (2005) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10002674332
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A simple method of testing for cointegration subject to multiple regime changes
Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221
Persistent link: https://www.econbiz.de/10001690295
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Power properties of nonlinearity tests for time series with Markov regimes
Psaradakis, Zacharias G. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 3
Persistent link: https://www.econbiz.de/10001790033
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Power properties of nonlinearity tests for time series with Markov regime
Psaradakis, Zacharias G.; Spagnolo, Nicola - 1999
Persistent link: https://www.econbiz.de/10001434242
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Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes
Psaradakis, Zacharias; Spagnolo, Fabio - 2004
In this paper we investigate the forecast performance of nonlinear error-correction models with regime switching. In particular, we focus on threshold and Markov-switching error-correction models where adjustment towards long-run equilibrium is nonlinear and discontinuous. Our simulation study...
Persistent link: https://www.econbiz.de/10014068297
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Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Psaradakis, Zacharias; Spagnolo, Nicola - In: Studies in Nonlinear Dynamics & Econometrics 6 (2002) 3, pp. 1091-1091
This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod--Li test, the BDS test, the...
Persistent link: https://www.econbiz.de/10005579877
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Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Psaradakis, Zacharias; Spagnolo, Nicola - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 3, pp. 1091-1091
This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod--Li test, the BDS test, the...
Persistent link: https://www.econbiz.de/10004966108