In this study, I provide corrections to the estimation results reported by Balassa (1963) on testing the implications of the Ricardian model of international trade. While all of his estimation results have changed, his main conclusions still pertain. I conjecture that the errors are most likely...

In this study, we show that a very simple structural break process can be easily confused with an Exponential Smooth Transition Autoregressive (ESTAR) model. Nonlinear estimates of an ESTAR model also appear to be quite significant and plausible when the model is applied to a structural break...

This paper explores some properties of periodically collapsing bubbles, which are a very popular model in the bubbles literature. We first demonstrate that complicated nonlinear bubbles can be represented as a time-varying parameter linear model of order 1. We demonstrate that the bubbles are...

Much interest has been paid recently to the nonlinear cointegrating relations existing among economic variables. Various testing procedures are already available to test for the existence of nonlinear cointegration. For example, Breitung (2001) proposes rank tests and his testing procedure has...

In this study, we present new evidence that the postwar U.S. federal budget deficit was explosive in nature. Because of the government's inevitable attempts to reduce high or rapidly growing budget deficits, the deficit may contain a substantial component that periodically collapses, which...

This article reports, confirming evidence for long memory in the return volatility from equity, and foreign exchange markets with the newly proposed increment ratio statistic by Surgailis et al. (2007). The test is robust to changing means, slowly varying trends and other nonstationarities. In...

Nonlinear exponential smooth transition autoregressive (ESTAR) models are recently very popular in modelling the deviation from purchasing power parity. This article, shows that there is a close relation between the ESTAR models estimated in Taylor et al. (2001) and stochastic unit root (STUR)...

It is generally believed that the political and economic stability pertaining during the heyday of Britain's imperial power contributed to reduced uncertainty in the UK financial markets at that time. Employing quite a unique data set for the sample period spanning 1850-1914, we examine in this...

In this study, we have assessed the performance of the nonparametric measure of convergence towards purchasing power parity, as previously suggested by Shintani (2006). While the measure, which is also applicable to nonlinear processes, should correspond to the exact half-life of a linear...

In this study, we evaluate the linearity of 170 major monthly US macroeconomic time series spanning the years 1959-2002. Employing the linearity test recently proposed by Harvey et al. (2008), which is applicable when the order of integration is uncertain, we determined that more than half of...