A new approach recently suggested by Hamilton for flexible parametric inference in nonlinear models is examined through simulation studies. Hamilton suggests a new test for neglected nonlinearity and we compare it with the neural network test, Tsay's test, White's dynamic misspecification test,...

Interest in the interface of nonstationarity and nonlinearity has been increasing in the econometric literature. This paper provides a formal method of testing for nonstationary long memory against the alternative of particular forms of nonlinerarity. The nonlinear models we consider are ESTAR...

A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls type I error without depending on the number of lags. In addition, the automatic test is found to have higher...

This paper builds on Kocenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various lengths of the data sets are introduced and through Monte...

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

In this article, we examine the unit root null hypothesis for per capita total Health Expenditures (HEs), per capita private HEs and per capita public HEs for 29 Organization for Economic Co-operation and Development (OECD) countries. The novelty of our work is that we use a new nonlinear unit...

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results. We show this by comparing four tests using S&P 500 data. Our results indicate that the modi fication which incorporates nonlinear probabilities outperforms the other models in...

Advocates of a universal child care system offer a two-fold argument: Child care facilitates children's long-run development, and levels the playing field by benefiting in particular disadvantaged children. Therefore, a critical element in evaluating universal child care systems is to measure...