In this paper, new noncausality tests built on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of these test are based on a Taylor expansion of the nonlinear model around a given point in a...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

Bubble solutions of rational expectations models are identified by extra components that arise in addition to market fundamentals. In general there still exist many equilibrium paths relying on a minimal set of state variables, i.e., along which the number of lags that influence the current...

In this paper we develop a general strategy for studying the effect on unbiased, nearest-neighbor walks of opening up or blocking a trap or neural site on a d-dimensional lattice.

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper considers the Bayesian analysis of threshold regression models. It shows that this analysis can be conducted with simple deterministic numerical integration rules of low dimension. The shape of the posterior density is greatly determined by the type of threshold and of transition...

This paper evaluates the latest version 4.4 of the econometric software TSP. After reviewing the general estimation methods, the originalities of the software are underlined, compared to what is available on the market. Some aspects of programming in TSP are detailed and th enew Window 95...

We propose twp multivariate long-memory ARCH models, which extend the univariate long-memory models by Ding and Granger (1996) and Baillie, Bollerslev and Mikkelsen (1996). We consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by...

This paper describes a methodology for implementing bidirectional/break frequency-selective filters in cases where the data sequence is short and nonstationary. A sime method is proposed for dealing with start-up problem. The method has a firm theoretical basis and it is computationally efficient.