In this paper we develop new system-equation tests for threshold cointegration based on a threshold vector autoregressive distributed lag (ADL) model. The proposed tests do not require weak exogeneity, and can be applied when cointegrating vector is unknown. The asymptotic null distributions of the tests are expressed as functionals of two-parameter Brownian motion. The distributions are free o...

In this paper we apply an Adaptive Network-Based Fuzzy Inference System (ANFIS) with one input, the dependent variable with one lag, for the forecasting of four macroeconomic variables of US economy, the Gross Domestic Product, the inflation rate, six monthly treasury bills interest rates and unemployment rate. We compare the forecasting performance of ANFIS with those of the widely used linear...

This study attempts to estimate the optimum government size in kingdom of Saudi Arabia (KSA) using annual data covering 1971–2019 period by applying linear and nonlinear Autoregressive Distributed Lag ARDL Model. The main focus is whether Armey curve valid for KSA. statistical diagnostic tests provide an evidence model adequacy that estimation results are reliable. Moreover, short-run revealed ...

Purpose The purpose of this study is to analyze how sentiment affects economic activity in Brazil. Design/methodology/approach Based on a nonlinear autoregressive distributed lag (NARDL) model, examines detail the short-term and long-term asymmetric impacts between variables during period from January 2007 December 2020. Findings There are three main results study. First, an important factor fo...

This study assesses two alternative approaches for investigating linear and nonlinear lagged associations in environmental time series data, comparing through simulations simple methods based on moving average summaries with more flexible distributed lag linear and nonlinear models. Results indicate that the latter provide estimates with no or low bias and close-to-nominal confidence intervals,...

We investigated the asymmetric effects of energy consumption, car ownership and tourism activities on CO2 emissions in UK. Empirical results from Non-Linear Autoregressive Distributed Lag (...

Sales forecasting at the UPC level is important for retailers to manage inventory. In this paper, we propose more effective methods to forecast retail UPC sales by incorporating competitive information including prices and promotions. The impact of these competitive marketing activities on the sales of the focal product has been extensively documented. However, competitive information has been ...

This empirical investigation aims at exploring the determinants of money demand in Vietnam by using both linear and nonlinear autoregressive distributed lag models over period spanning from third quarter 2000 to first 2018. Our findings can be summarized as follows: firstly, when shock is symmetric (i.e. a permanent nominal appreciation 1%), increases 3.7% long term. Secondly, asymmetric, for 1...