Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

In the classical ARCH model of Engle [1982] the conditional variance is a linear function of lagged squared residuals. In this paper I introduce nonlinearity, by adding a term that consists of a constant parameter multiplied by a transition function. Two different transition functions are...

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...

This paper tests for the existence of a non-linear pattern in the process of real economic convergence. It uses a sample of 88 countries for the period 1980-1999.

The boom-bust cycle in U.S. house prices has been a fundamental determinant of the recent financial crisis leading up to the Great Recession. The risky financial innovations in the housing market prior to the recent crisis fueled the speculative housing boom. In this backdrop, the main...

We revisit the debate on the sustainability of the current account dynamics in the US. Using the concept of sustainability as the ability to meet the long run intertemporal budget constraint, we test for unit roots in the US current account for the 1960-2004 period. We argue that there are...

The recent empirical evidence documenting the presence of asymmetries in business cycles represents a challenge for the standard equilibrium models of real business cycle. These models successfully explain most first and second moments of the actual time series, but cannot replicate non-linear...

The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of non-linear models. We conduct an extensive analysis over a large...

The boom-bust cycle in U.S. house prices has been a fundamental determinant of the recent financial crisis leading up to the Great Recession. The risky financial innovations in the housing market prior to the recent crisis fueled the speculative housing boom. In this backdrop, the main...