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Smooth transitions, asymmetric adjustment and unit roots
Cuestas, Juan Carlos; Ordóñez, Javier - In: Applied economics letters 21 (2014) 13/15, pp. 969-972
Persistent link: https://www.econbiz.de/10010418290
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Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2022
Persistent link: https://www.econbiz.de/10013263369
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Unit root quantile autoregression testing with smooth structural changes
Li, Haiqi; Zheng, Chaowen - In: Finance research letters 25 (2018), pp. 83-89
Persistent link: https://www.econbiz.de/10012003465
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Joint Detection of Structural Change and Nonstationarity in Autoregressions
Pitarakis, Jean-Yves - 2011
In this paper we develop a test of the joint null hypothesis of parameter stability and a unit root within an ADF style autoregressive specification whose entire parameter structure is potentially subject to a structural break at an unknown time period. The maintained underlying null model is a...
Persistent link: https://www.econbiz.de/10014185521
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Business cycle asymmetries : characterisation and testing based on Markov-switching autoregressions
Clements, Michael P.; Krolzig, Hans-Martin - 1998
Persistent link: https://www.econbiz.de/10001370037
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Testing for unit roots in three-regime SETAR models : application to the United States per capita real health care expenditure time series
Murthy, Vasudeva N. R. - In: The empirical economics letters : a monthly … 14 (2015) 4, pp. 307-314
Persistent link: https://www.econbiz.de/10011418844
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Forecasting U.S. recessions and economic activity
Kotchoni, Rachidi; Stevanovic, Dalibor - 2016
Persistent link: https://www.econbiz.de/10011520468
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Time-varying effects of housing and stock returns on U.S. consumption
Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 50 (2015) 3, pp. 339-354
Persistent link: https://www.econbiz.de/10011474541
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Asymmetric price transmission in the US and German fuel markets : a quantile autoregression approach
Schweikert, Karsten - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 1071-1095
Persistent link: https://www.econbiz.de/10012041695
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Using the hybrid Phillips curve with memory to forecast US infllation
Chu, Shiou-Yen; Shane, Christopher - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10011755440