We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...

This article investigates the effects and transmission channels of shocks between two asymmetric neighboring countries. In particular, we investigate Austria and Germany which are highly integrated due to their common language and common membership of the European Monetary Union. Generalized impulse response functions reveal that there are large and significant effects of shocks to the German e...

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/ √ T . This local embedding makes the problem asymptotically a normal-normal Bayes problem, resulting in closed-form solutions for th...

This study examines the causal relationship between foreign direct investment and economic growth. Methodology is based on the Toda-Yamamoto test for causality relationship and the bounds testing (ARDL). Time-series data covering the period 19702005 for Malaysia, the study found, in the case of Malaysia there is no strong evidence of a bi-directional causality and long-run relationship between ...

Most Annonaceous acetogenins are characterized by between one and three THF ring(s) with one or two flanking hydroxyl group(s) in the center of a C32/34 fatty acid, and the terminal carboxylic acid is combined with a 2-propanol unit to form an alpha,beta-unsaturated gamma-lactone. While many studies have addressed the properties and synthesis of natural acetogenins due to their attractive biolo...

In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative metho...

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling f...

This paper examines the dynamic effects of government outlays on economic growth and the unemployment rate. Using vector autoregression and data from twenty OECD countries over three recent decades, we found: (1) positive shocks to government outlays slow down economic growth and raise the unemployment rate; (2) different types of government outlays have different effects on growth and unemploy...

This paper studies testing for the presence of smooth transition nonlinearity in adjustment parameters of the vector error correction model. We specify the generalized model with multiple cointegrating vectors and di¤erent transition functions across equations. Given that the nonlinear model is highly complex, this paper proposes an optimal LM test based only on estimation of the linear model. ...

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise. Least squares estimation of the cointegrating vector is consistent. Existing prototypical variancebased ...