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Explosive U.S. budget deficit
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41
Measuring the US NAIRU as a step function
Yamada, Hiroshi
;
Yoon, Gawon
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
4
,
pp. 1679-1688
Persistent link: https://www.econbiz.de/10011661896
Saved in:
42
Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates
Lee, Hwa-Taek
;
Yoon, Gawon
-
2007
Real exchange rates are quite persistent. Standard unit root tests are not very powerful in drawing a conclusion regarding the validity of purchasing power parity [PPP]. Rather than asking if PPP holds throughout the whole sample period, we examine if PPP holds sometimes by employing...
Persistent link: https://www.econbiz.de/10010296288
Saved in:
43
Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
Basci, Erdem
;
Caner, Mehmet
;
Yoon, Gawon
- In:
Studies in Nonlinear Dynamics & Econometrics
10
(
2006
)
2
This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.
Persistent link: https://www.econbiz.de/10014620988
Saved in:
44
A Simple Model that Generates Stylized Facts of Returns
Yoon, Gawon
-
2003
This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997)
Persistent link: https://www.econbiz.de/10012740078
Saved in:
45
Does purchasing power parity hold sometimes? Regime switching in real exchange rates
Lee, Hwa-Taek
;
Yoon, Gawon
- In:
Applied Economics
45
(
2013
)
16
,
pp. 2279-2294
Standard unit root tests are not very powerful in drawing conclusions regarding the validity of Purchasing Power Parity (PPP). Rather than asking whether PPP holds throughout the whole sample period, we examine, in this study, if PPP holds sometimes by employing Hamilton-type (1989) Markov...
Persistent link: https://www.econbiz.de/10010971305
Saved in:
46
Is there a nonlinear long-run relation in the U.S. interest rate and inflation?
Lee, Hwa-taek
;
Liew, Venus khim-sen
;
Yoon, Gawon
- In:
Economics Bulletin
33
(
2013
)
1
,
pp. 104-112
Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also...
Persistent link: https://www.econbiz.de/10011278839
Saved in:
47
Is high real interest rate persistence an intrinsic characteristic of industrialized economies?
Yoon, Gawon
- In:
Economic Modelling
26
(
2009
)
2
,
pp. 359-363
Recent empirical findings show that post-war real interest rates are quite persistent and that they also contain a large number of structural changes in their means. In this study, we also find concurring results for real interest rates from thirteen industrialized countries. We show, however,...
Persistent link: https://www.econbiz.de/10005235468
Saved in:
48
Long-memory property of nonlinear transformations of break processes
Yoon, Gawon
- In:
Economics Letters
87
(
2005
)
3
,
pp. 373-377
Persistent link: https://www.econbiz.de/10005361998
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49
A note on some properties of STUR processes
Yoon, Gawon
-
Econometric Society
-
2004
This note presents possibly hitherto unnoticed, or only implicitly discussed, properties of the stochastic unit root process developed in Granger and Swanson (1997) and Leybourne, McCabe, and Tremayne (1996).
Persistent link: https://www.econbiz.de/10005342328
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50
The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots
Yoon, Gawon
-
Econometric Society
-
2004
This paper shows that the recently proposed tests of linear and logarithmic transformations for integrated processes against each other by Kobayashi and McAleer (1999) are severely biased for alternative hypotheses when the true data generating process is a stochastic unit root. An empirical...
Persistent link: https://www.econbiz.de/10005342365
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