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Are apparent findings of nonlinearity due to structural instability in economic time series?

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Persistent link: https://www.econbiz.de/10001612280

Are apparent findings of nonlinearity due to structural instability in economic time series?

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A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data

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Nonlinearities in the real exchange rates : new evidence from developed and developing countries

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Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?

Koop, Gary; Potter, Simon - 2006

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g., a threshold autoregressive...

Persistent link: https://www.econbiz.de/10014193866

Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?

Koop, Gary; Potter, Simon - 2001

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive...

Persistent link: https://www.econbiz.de/10014125964