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Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 3, pp. 1-38

Persistent link: https://www.econbiz.de/10009515145

Purchasing power parity adjustment speeds in high frequency data when the equilibrium real exchange rate is proxied by a deterministic trend

Payá, Ivan; Peel, David - In: Papers in money, macroeconomics and finance : … 71 (2003), pp. 39-53

Persistent link: https://www.econbiz.de/10003361478

Another example of a non-linear time series with misleading linear properties

Byers, J. David; Peel, David - In: Applied economics letters 10 (2003) 1, pp. 47-51

Persistent link: https://www.econbiz.de/10001725693

Transactions costs and nonlinear adjustment in real exchange rates : an empirical investigation

Michael, Panos - In: Journal of political economy 105 (1997) 4, pp. 862-879

Persistent link: https://www.econbiz.de/10001225251

A non-linear error correction mechanism based on the bilinear model

Peel, David - In: Economics letters 58 (1998) 2, pp. 165-170

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Modelling business cycle nonlinearity in conditional mean and conditional variance : some international and sectoral evidence

Peel, David - In: Economica 65 (1998) 258, pp. 211-229

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Rationality testing under asymmetric loss

Batchelor, Roy A. - In: Economics letters 61 (1998) 1, pp. 49-54

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Critical bounds for MA(2) and MA(3) processes

Lane, J. A. - In: Economics letters 2 (1988), pp. 133-140

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A nonlinear analysis of the real exchange rate-consumption relationship

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Macroeconomic dynamics 22 (2018) 7, pp. 1825-1843

Persistent link: https://www.econbiz.de/10011918182

Transactions Costs and Nonlinear Adjustment in Real Exchange Rates : An Empirical Investigation

Michael, Panos; Nobay, A. Robert; Peel, David A. - 1998

Equilibrium models of real exchange rate determination in the presence of transactions costs imply a nonlinear adjustment process toward purchasing power parity (PPP). Conventional cointegration tests, which ignore the effect of transactions costs, may be biased against the long-run PPP...

Persistent link: https://www.econbiz.de/10014220616