This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are...

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

This paper investigates the relationships among real, monetary and financial variables in the Australian economy using seasonally unadjusted monthly data series spanning the period January 1978 to June 1994.

In this paper time series properties of the price of wool are examined in order to access the importance of non-linear storage behaviour in generating the data.

Since an analysis of seasonal fluctuation appeared to shed light on the nature of business cycles, testing for seasonal pattern in time series has been given considerable attention in the recent literature. It is also well-known that many economic and financial time series exhibit strong...

This paper considers various models including univariate time series and the ones emerging from the Fisher effect and/or the term structure of interest rates for Australian inflation forecasting, and assesses their in-sample and out-of-sample forecast power properties. The CPI seroes, 90-days...

There as been on-going debate and empirical investigation in the literature as to whether or not the term structure contains information about future inflation. In this paper, the authors present new evidence about the information in the term structure of interest rates about future inflation in...

It has been argued that research on market efficiency should be evaluated in terms of whether it improves our ability to predict the time series of security returns. Much recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial...