This paper investigates whether the systematic asymmetric behaviour of the US unemployment rate can be explained by the stock market. We consider threshold models to capture the asymmetric relationship between quarterly US unemployment rate and Dow Jones Industrial Average (DJ) stock returns. We...

This paper investigates whether or not the LM techniques proposed to test the null hypothesis of linearity against GARCH, bilinear (BL) and Joint GARCH-BL alternatives separately, have desirable finite sample properties. The result of a Monte carlo simulation study show that their sizes are...

This paper investigates the short- and long-run Indonesian regional labour market integration using Johansen's system approach. The authors have tested for a number of co integrating relationships and common trends among West-Java, East-Java, Central-Java and Jakarta, wage rates, and for the...

It is well known that, under some conditions, tests are asymptotically equivalent, and are optimal in the sense that the local power of these tests are equal to the maximum that can be achieved. However, in most practical situations, the density function f is unknown.

An issue that arises in applications involving the ARCH-in-Mean (ARCH-M) model is whether or not the error variance is constant over time. A proper statistical formulation of this as a test of hypothesis presents two difficulties. First, the model does not satisfy the standard regularity...

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

This paper investigates the relationships among real, monetary and financial variables in the Australian economy using seasonally unadjusted monthly data series spanning the period January 1978 to June 1994.