Narrow search
Showing 1 - 10 of 964
Cover Image
Nonlinear Dynamics and European GNP Data
Gatti, Domenico Delli; Gallegati, Mauro; Mignacca, Domenico - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 1, pp. 43-59
The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy,...
Persistent link: https://www.econbiz.de/10005046484
Cover Image
Nonlinear Dynamics and European GNP Data
Gatti, Domenico Delli; Gallegati, Mauro; Mignacca, Domenico - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 1, pp. 43-59
The aim of this paper is to assess whether the data-generation process of the GDP can be interpreted by means of a nonlinear model instead of a linear one. We model the first differences of logarithmic real GDP data with constant parameters for those European countries (France, Germany, Italy,...
Persistent link: https://www.econbiz.de/10004966147
Cover Image
Understanding Markov-switching rational expectations models
Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - 2009
We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of...
Persistent link: https://www.econbiz.de/10010292280
Cover Image
Public Debt, Economic Growth and Nonlinear Effects: Myth or Reality
Egert, Balazs - 2013
nonlinear relationship between debt and growth is very sensitive to modelling choices. We also show that when nonlinearity is …
Persistent link: https://www.econbiz.de/10010292693
Cover Image
Nonlinearity as an explanation of the forward exchange rate anomaly
Bond, Derek; Hession, Niall; Harrison, Michael J.; … - 2008
This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using … sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong … evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of …
Persistent link: https://www.econbiz.de/10010292850
Cover Image
Exploring long memory and nonlinearity in Irish real exchange rates using tests based on semiparametric estimation
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2009
shifts and nonlinearity. In this paper, three testing approaches based on the properties of semiparametric estimators of the …; but overall the results provide fairly strong support for the possibility of nonlinearity rather than long memory. …
Persistent link: https://www.econbiz.de/10010292859
Cover Image
A simple specification procedure for the transition function in persistent nonlinear time series models
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...
Persistent link: https://www.econbiz.de/10010294434
Cover Image
On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...
Persistent link: https://www.econbiz.de/10010294441
Cover Image
Fiscal policy, trigger points and interest rates: Additional evidence from the U.S.
Reitschuler, Gerhard; Sendlhofer, Rupert - 2011
We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....
Persistent link: https://www.econbiz.de/10010294827
Cover Image
The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity
Kim, Jeong-Ryeol - 2003
In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...
Persistent link: https://www.econbiz.de/10010295749