Threshold nonlinearities in output: Some international evidence

Applied Economics

Volumn 30, Issue 3, 1998, Pages 323-333

  Peel, D A ^a   Speight, A E H ^b  

^a CARDIFF UNIVERSITY   (United Kingdom)

^b SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COMPARATIVE STUDY; ECONOMIC OUTPUT; MODELLING APPROACH;

EID: 0031777532     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368498325840     Document Type: Article

References (46)

1. Beaudry, P. and Koop, G. (1993) Do recessions permanently affect output? Journal of Monetary Economics, 31, 149-63.
2. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
3. Brock, W., Hsieh, D. A. and LeBaron, L. (1991) Nonlinear Dynamics, Chaos and Instability, MIT Press, Cambridge, MA.
4. Brock, W. and Sayers, C. (1988) Is the business cycle characterized by deterministic chaos?, Journal of Monetary Economics, 22, 71-90.
5. Brock, W., Dechert, W. D. and Scheinkman, J. (1987) A test for independence based on the correlation dimension. University of Wisconsin Economics Working Paper SSRI-8702.
6. Chambers, M. J. (1996) Fractional integration, trend stationarity and difference stationarity: evidence from some UK macroeconomic time series, Economics Letters, 50, 19-24.
7. Chan, K. S. (1990) Percentage points of likelihood ratio tests for threshold autoregression. University of Chicago, Department of Statistics, Technical Report No. 272.
8. Chan, K. S. and Tong, H. (1990) On likelihood ratio tests for threshold autoregression, Journal of the Royal Statistical Society B, 52, 469-76.
9. Christiano, L. J. and Eichenbaum, M. (1990) Unit roots in real GNP: do we know, and do we care?, Carnegie-Rochester Conference Series on Public Policy, 32, 7-62.
10. Cochrane, J. H. (1988) How big is the random walk in GNP? Journal of Political Economy, 96, 893-920.
11. DeJong, D. N. and Whiteman, C. H. (1991) Reconsidering 'trends and random walks in macroeconomic time series', Journal of Monetary Economics, 28, 221-54.
12. DeJong, D. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H. (1992a) Integration versus trend stationarity in time series, Econometrica, 60, 423-33.
13. DeJong, D. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H. (1992b) The power problems of unit root tests in time series with autoregressive errors, Journal of Econometrics, 53, 323-43.
14. Diebold, F. X. and Rudebusch, G. D. (1989) Long memory and persistence in aggregate output, Journal of Monetary Economics, 24, 189-209.
15. Engle, R. F. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007.
16. Granger, C. W. J. and Joyeux, R. (1980) An introduction to long memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-29.
17. Granger, C. W. J. and Teräsvirta, T. (1993) Modelling Nonlinear Economic Relationships, Oxford University Press, Oxford.
18. Grassberger, P. and Procaccia, I. (1983) Measuring the strangeness of strange attractors, Physica D, 9, 189-208.
19. Hamilton, J. D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-84.
20. Hsieh, D. A. (1989) Testing nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 339-68.
21. Hsieh, D. A. and LeBaron, B. (1988) Finite sample properties of the BDS statistic. University of Chicago, Mimeo.
22. Kwatowski, D., Phillips, P. C. B. and Schmidt, P. (1991) Testing the null of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Cowles Foundation Discussion Paper No. 979.
23. Luukkonen, R., Saikkonen, P. and Teräsvirta, T. (1988) Testing linearity against smooth transition autoregressive models, Biometrika, 75, 491-99.
24. Moeanaddin, R. and Tong, H. (1988) A comparison of likelihood ratio test and CUSUM test for threshold autoregression, Journal of the Royal Statistical Society, A, 37, 213-25; (Addendum & Corrigendum, 37, 473-4).
25. Mullineux, A. W. and Peng, W. (1993) Nonlinear business cycle modelling, Journal of Economic Surveys, 7, 41-83.
26. Nelson, C. R. and Plosser, C. I. (1982) Trends and random walks in macroeconomic time series: some evidence and implications, Journal of Monetary Economics, 10, 139-62.
27. Park, J. Y. and Choi, B. (1988) A new approach to testing for a unit root. Cornell University, mimeo.
28. Peel, D. A. and Speight, A. E. H. (1995) Non-linear dependence in unemployment, output and inflation: empirical evidence for the UK, in R Cross (ed.) The Natural Rate of Unemployment, Cambridge University Press: Cambridge.
29. Peel, D. A. and Speight, A. E. H. (1996) Is the US business cycle asymmetric? some further evidence, Applied Economics, 28, 405-15.
30. Peel, D. A. and Speight, A. E. H. (1998) The nonlinear time series properties of unemployment rates: some further evidence, Applied Economics (in press).
31. Pesaran, M. H. and Potter, S. (1994) Nonlinear Dynamics, Chaos and Econometrics, John Wiley & Sons: Chichester.
32. Philips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
33. Pippinger, M. K. and Goering, G. E. (1993) A note on the empirical power of unit root tests under threshold processes, Oxford Bulletin of Economics and Statistics, 55, 473-81.
34. Potter, S. (1995) A nonlinear approach to US GNP, Journal of Applied Econometrics, 10, 109-26.
35. Priestley, M. B. (1988) Non-linear and Non-stationary Time Series Analysis, Academic Press: London.
36. Saikkonen, P. and Luukkonen, R. (1988) Lagrange multiplier test for testing non-linearities in time series models, Scandinavian Journal of Statistics, 15, 55-68.
37. Schwert, G. W. (1989) Tests for unit roots: a Monte Carlo investigation, Journal of Business and Economic Statistics, 7, 147-60.
38. Serfling, R. (1980) Approximation Theorems of Mathematical Statistics, New York: Wiley.
39. Sowell, F. (1992) Modeling long-run behaviour with the fractional ARMA model, Journal of Monetary Economics, 29, 277-302.
40. Teräsvirta, T. (1994) Specification, estimation and evaluation of smooth transition autoregressive models, Journal of the American Statistical Association, 89, 208-18.
41. Teräsvirta, T. and Anderson, H. (1992) Modelling nonlinearities in business cycles using smooth transition autoregressive models, Journal of Applied Econometrics, 7, S119-S136.
42. Tiao, G. C. and Tsay, R. S. (1994) Some advances in nonlinear and adaptive modelling in time series analysis, Journal of Forecasting, 13, 109-31.
43. Tong, H. (1983) Threshold Models in Nonlinear Time Series Analysis. Lecture Notes in Statistics No. 21, Springer-Verlag, New York.
44. Tong, H. (1990) Non-linear Time Series: A Dynamical System Approach, Clarendon Press: Oxford.
45. Tsay, R. S. (1986) Nonlinearity tests for time series, Biometrika, 73, 461-6.
46. Weiss, A. A. (1986) ARMA models with ARCH errors, Journal of Time Series Analysis, 5, 129-43.