In this paper, I find that real U.S. GDP is better characterized as a trend stationary Markov-switching process than as having a (regime-dependent) unit root. I examine the effects of both assumptions on the analysis of business cycle features and their implications for the persistence of the dynamic response of output to a random disturbance. JEL Classification: E32, C22, E27.

The standard linear technique of impulse response function analysis is extended to the nonlinear case by de"ning a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C22; C51; C52; E32

This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation. JEL-Numbers: C12, C22, F31

This paper assesses the long-run bilateral trade relations between the US and Mexico. North American Free Trade Agreement (NAFTA) had no additional impacts on import functions. Gradual switching existed even before the agreement became effective. © 2002 Society for Policy Modeling. Published by Elsevier Science Inc. All rights reserved. JEL classification: F13; C22

This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence...

An increase in credit, especially consumption can trigger aggregate demand growth above potential output which causes the economy to heat up. This study aims analyze effect of macroeconomic variables, such as interest rates, inflation, and gross domestic product (GDP), on for property credit Indonesia with period January 2011 – December 2018. The results show that short term, rate lag 1 2, infl...

In recent decades, there has been a growing literature dealing with the empirical estimation of rate profit and other Marxian variables in several countries. Nonetheless, paucity econometric research about impact those on growth developing This article seeks to evaluate accumulation as determinants Colombia during 1967–2019, using generalized vector autoregressive model. We find that both are s...

The present study aims to examine the short-run and long-run impact of China’s trade liberalization policies on its energy demand over period from 1980 2018. results Autoregressive Distributed Lag approach co-integration show that consumption significantly increases as a result openness increase in real Gross Domestic Product (GDP). granger causality test also confirm unidirectional running GDP...

Abstract The aim of the paper is to compare forecasting performance a class statedependent autoregressive (SDAR) models for univariate time series with two alternative families nonlinear models, such as SETAR and GARCH models. study conducted on US GDP growth rate using quarterly data. Two methods forecast comparison are employed. first method consists in evaluation average by measures root mea...