This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our … results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we … had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be …

Using the recently developed linearity test and non-linear unit root test, this study shows that the income gaps of … Finland, Norway and Sweden with respect to Denmark are non-linear but stationary with no significant trend effect, implying …

The implicit assumption of linearity is an important element in empirical finance. This study presents a hypothesis … tests detect spurious non-linearity in the conditional mean caused by heteroskedasticity and/or autocorrelation. This study … research may have detected spurious non-linearity due to size distortions caused by heteroskedasticity and autocorrelation …

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of …

allows nonlinear models to be estimated efficiently and relatively quickly with the fully-adapted particle filter. The … article demonstrates the method by estimating, on US data, a nonlinear New Keynesian model with a zero lower bound on the …

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of …

(2001) rank test procedures. Breitung (2001) rank test can detect both linear and nonlinear cointegration relationships …, added value to the literature with strong evidences of nonlinear cointegration on GDP growth and export. …