This paper proposes a new system-equation test for threshold cointegration based on a threshold vector autoregressive distributed lag (ADL) model. The new test can be applied when the cointegrating vector is unknown and when weak exogeneity fails. The asymptotic null distribution of the new test is derived, critical values are tabulated, and finite-sample properties are examined. In particular,...

2010 Acknowledgement The study embraces the last two decades I worked for the Institute of Food Research, UK. For the opportunity to become a research scientist, I am indebted to Dr Terry Roberts, the former head of the Microbiology Department there, who decided that further advances in food microbiology was impossible without a dedicated mathematician.

The effect of the global financial crisis on the international trade patterns of developed countries has been one of the main focuses of recent studies. However, the dependence level of world trade on emerging markets increases every day. Therefore, it is important to study the level of the negative effect of the crisis on emerging economies and the level of their recovery potential. This paper...

This paper examines the monetary transmission mechanism in the countries of the Central African Economic and Monetary Community (CAEMC). Specifically, we focus on the very first step of this mechanism namely the interest rate pass-through from short-term interest rates towards long-term rates. Using an autoregressive distributed lag (ADRL) model, we show that there is evidence of a very low and...

This study tries to answer the question, “has macroeconomic instability detrimental impact on gross domestic product of Pakistan over the period of 1980 to 2012?” For reviewing macroeconomic instability a comprehensive macroeconomic instability index is constructed by incorporating inflation rate, unemployment rate, trade deficit and budget deficit. Autoregressive Distributed Lag (ARDL) model h...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, an...

This paper focuses on Indo-Iranian merchandise trade for a period of 30 years from1980-81 to 2009-10. The study is based on econometric modeling comprising 3 versions of the RWM model and alternative forms and specification of regression functions. RWM model(s) evaluates the stationary nature of time series data relating to GNP, Exports, Imports and total merchandise Indo-Iranian trade. Dickey-...