Simulations are used to check the probability of detecting a time-varying equilibrium correction by applying the existing tests of no cointegration and parameter constancy. Smooth transition regressions are chosen to describe the nonlinearity and the Johansen cointegration test and the Lin and...

The paper discusses a simple univariate nonlinear parametric time-series model for unemployment rates, focusing on the asymmetry observed in many OECD unemployment rate series. The model is based on a standard logistic smooth transition autoregressive (LSTAR) model for the first difference of...

The Phillips curve has generally been estimated in a linear framework which implies a constant relationship between inflation and unemployment. Lately there have been several studies which claim that the slope of the Phillips curve is a function of macroeconomic conditions and that the...

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

An error correction model for the demand for real M3 money is constructed for the period 1976-1994 with real GNP, the GNP deflator as well as a short-term and a long-term interest rate as explanatory variables. Quarterly, seasonally unadjusted data are used in estimating the model. It is found...

This article is concerned with forecasting from nonlinear conditional mean models. First, a number of often applied nonlinear conditional mean models are introduced and their main properties discussed. The next section is devoted to techniques of building nonlinear models. Ways of computing...

This paper reconsiders a nonlinear error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when estimated, turns out to encompass the...

This paper reconsiders the equilibrium correction model of nondurable consumption in the UK by Davidson et al. (1978), denoted DHSY. The DHSY model fails outside the original observation period and several studies claim that this is due to neglected nonlinearities or time-varying parameters....

This paper considers smooth transition regression models and their univariate counterparts, smooth transition autoregressive models. The model is defined and thereafter, linearity testing, statistical inference in smooth transition models, and areas of application are discussed. A bivariate...