Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant,...

In this paper, we intend to develop a new unit root testing procedure. The novelty of this methodology includes (1) accommodating possible trend breaks of unknown number, unknown dates, and unknown form by employing the Fourier form without directly estimating such breaks; (2) considering...

This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009). Our empirical results for six OECD countries suggest that though the nominal...

A set of unit root tests are applied to test the existence of long-run real interest rate parity among the G-10 countries over the period 1971M1 to 2007M2. Rather than trusting the asymptotic distributions, this article uses simulation techniques to establish the small sample distributions of...

This paper applies the regression quantile approach developed by Koenker and Xiao (2004) to investigate the dynamic behavior of inflation in 12 OECD countries. By analyzing the behavior in a wide range of quantiles, this method allows us to quantify the influence of various sizes of shocks that...

This article explores whether there is support for the stationarity hypotheses of life and non-life insurance premiums during the period 1979--2007 for 40 heterogeneous countries. The stationarity of insurance premiums affects insurance companies’ prediction on their future inflow of premium...

Event forecasts, often generated from estimated econometric models, comprise a binary time series. In empirical finance, the market timing test proposed by Henricksson and Merton (1981) is probably the most popular method to assess the accuracy of these forecasts. Unfortunately, event forecasts...