This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selectio...

Multiresolution wavelet analysis is a natural way to decompose economic time series into components of various frequencies: long-run trend, business-cycle component, and high frequency noise. This paper illustrates the method on real GNP and inflation. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter (Baxter and...

We address the question of unemployment hysteresis within the context of ARFIMA models. Our results suggest that in the post-1973 era, hysteresis is considerably less of a stylized fact for the unemployment rates of key OECD economies. JEL Categories C22, E30 Please address all correspondence to: Philip Rothman, Department of Economics, Brewster * Building, East Carolina University, Greenville,...

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de…ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in …nite samples. Keywords:...

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. JEL Classi…cation: C12; C14; C22 Keywords: Cointegration, HAC estimation, robust inference, steep orig...

This paper derives analytical results for determination of the window size that explores the trade-off between bias and forecast error variance to minimize the mean squared forecast error in the presence of breaks. We show analytically how to determine the estimation window optimally for the case with strictly exogenous regressors. Through Monte Carlo simulations the paper compares the performa...

Dans [1] Giffen montre comment associer à toute matrice α symétrique élémentaire à coefficients dans un anneau commutatif A , un élément s2(α) dans un quotient convenable de K2 . Cet invariant s2(α) est très concret: c’est l’obstruction à relever α en un élément symétrique du groupe de Steinberg de A . Il est démontré dans [10] qu’en composant s2 avec l’homomorphisme de Hurewicz et la classe de...

This paper analyzes the asymptotic behavior of two types of so-called KPSS tests when a logarithm transformation has been applied spuriously to data that are themselves an integrated time series. Although a different limit distribution is obtained, the asymptotic convergence behavior of the KPSS statistic is reminiscent of that of integrated time series, and it is shown that the KPSS test canno...

This paper assesses whether the UK public finances were sustainable for the period 1919 to 2001 using a nonlinear representation of the debt to GDP ratio and thus provides a more robust test of debt sustainability. Empirical evidence supports debt sustainability. Moreover, the ESTAR representation is evidence that sustainability is the result of active debt management rather than tax-smoothing....

We study the stationary solution to the recursion Xn+1 = γXn+ξn, where γ ∈ (0, 1) is a constant and ξn are Gaussian variables with random parameters. Specifically, we assume that ξn = μn + σnεn, where (ε)n∈Z is an i.i.d. sequence of standard normal variables and (μn, σn)n∈Z is a stationary and ergodic process independent of (εn)n∈Z, which serves as an exogenous dynamic environment for the model...