Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods,...

In a recent examination of the integrated nature of inflation, Culver and Papell (Journal of Applied Econometrics, 1997) applied a range of unit root and stationarity tests to data from a panel of 13 OECD economies. The results obtained were mixed. While little evidence of stationarity was...

The finite-sample properties of recently proposed range unit root tests are examined in the presence of serial correlation and drift. The results obtained show that both tests suffer from severe size distortion when applied to unit root process which either possess serially correlated...

Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root hypothesis to be tested against an alternative of asymmetric stationarity about a deterministic trend. Monte Carlo evidence is presented to show the increased power of the...

In recent years a large literature has emerged considering the relationship between financial and macroeconomic variables. The present article extends this research via consideration of threshold adjustment in the relationship between stock prices and economic activity in the UK. The results...

Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric...

The econometric analysis of interest rate pass-through is examined. It is noted a number of recent studies have employed a procedure that underestimates the extent of interest rate pass-through. This issue is highlighted via an analysis of pass-through from the U.S. Federal Funds rate to the...

The finite-sample properties of cointegration tests incorporating structural change are derived when applied to independent unit root processes subject to changes in innovation variance. It is shown that decreases in innovation variance can result in severe size distortion, with the extent of...

Using Monte Carlo methods, the behaviour of the momentum threshold autoregressive (MTAR) unit root test of Enders and Granger (1998) is examined in the presence of structural breaks under the null. It is found that for level breaks the MTAR test exhibits similar behaviour to that derived by...