This paper examines various transmission mechanism channels on economic growth in Malaysia over the quarterly period 1980:1-2004:4 using bounds testing approach. The bounds test reveals evidence of cointegration between the real GDP and the real exchange rate and share prices that address the...

This paper constructs the augmented monetary conditions index (AMCI) over 1982:1-2004:4 using UECM and bounds test approach for the Philippines data. Results reveal evidence of cointegration between the real GDP and its determinants, namely short-term interest rate, exchange rate and claims on...

Two methods of identifying cointegrating vectors are commonly used: linear restrictions and the nonlinear method of Johansenos maximum likelihood procedure. That linear method can produce invalid estimates while the Johansen approach always produces valid estimates has been recognised in several...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coefficient components. The model accommodates a cointegrating structure and allows for endo-geneity with contemporaneous correlation among...

In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent...