This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our … results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we … had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be …

The implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis … tests detect spurious non-linearity in the conditional mean caused by heteroskedasticity and/or autocorrelation. This study … research may have detected spurious non-linearity due to size distortions caused by heteroskedasticity and autocorrelation …

Using the recently developed linearity test and non-linear unit root test, this study shows that the income gaps of … Finland, Norway and Sweden with respect to Denmark are non-linear but stationary with no significant trend effect, implying …

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of …

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of …

allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter. The … article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the …

to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly … persistent and well approximated as fractionally-integrated, realized betas, which are simple nonlinear functions of those …