This paper develops a theoretical wage bargaining model, which yields a non-linear wage equation with a positive long term impact of taxes on wages as a special case. The elasticity of the replacement rate depends on the unemploy¬ment rate. The wage equation is estimated on time series data of...

We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine the presence of common non-linear features across many such variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...

The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output,...

This study tests the presence of the long run Fisher effect in eight Asian economies. Using monthly data and a variety of interest rates, the paper employs a recent nonlinear methodology to capture the long run relationship between the nominal interest rate and the inflation rate. The estimation...

Education being an important component of human capital has always attracted the interests of economists, researchers and policy makers. Governments across the globe in general and in India in particular are trying to improve the human capital by pumping more investments in education. But the...

This paper investigates whether the Istanbul Stock Exchange (ISE) prices can be characterized as a random walk or mean reversion process in a non-linear framework. We employ an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root based on bootstrap...

This study carries out an examination of the potential non-linear cointegration between the lending and deposit rates of eight Eastern European countries using the non-parametric rank tests proposed by Breitung (2001). Based upon our adoption in this study of the threshold error-correction model...

General unrestricted models (GUMs) may include important individual determinants, many small relevant effects, and irrelevant variables.  Automatic model selection procedures can handle perfect collinearity and more candidate variables than observations, allowing substantial dimension reduction...

Success in accurately forecasting breaks requires that they are predictable from relevant information available at the forecast origin using an appropriate model form, which can be selected and estimated before the break.  To clarify the roles of these six necessary conditions, we distinguish...

The unemployment rate in Australia is modelled as an asymmetric and nonlinear function of aggregate demand, productivity, real interest rates, the replacement ratio and the real exchange rate. If changes in unemployment are big, the management of of demand, real interest rates and the...