This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

Threshold autoregression in economics Page 1 Statistics and Its Interface Volume 4 (2011)
123–127 Threshold autoregression in economics Bruce E. Hansen∗ The impact of Howell …

This paper proposes a new testing procedure to detect the presence of a cointegrating
relationship that follows a globally stationary smooth transition process. In the context of …

Nonlinear adjustment toward long‐run price equilibrium relationships in the sugar‐ethanol‐
oil nexus in Brazil is examined. We develop generalized bivariate error correction models …

This survey focuses on two families of nonlinear vector time series models, the family of
vector threshold regression (VTR) models and that of vector smooth transition regression …

Some recent work on the analysis of nonlinear and nonstationary time series models is
reviewed. A couple of novel results are obtained in extending nonlinear cointegrating …

We derive an asymptotic theory of nonparametric estimation for a time series regression
model Z t= f (X t)+ W t, where {X t} and {Z t} are observed nonstationary processes and {W t} …

This paper studies wage-price dynamics in the context of a disequilibrium macro model
where there are two Phillips curves (PC's), a wage PC and price PC. We adapt this …

This paper develops tests for the null hypothesis of cointegration in the nonlinear regression
model with I (1) variables. The test statistics we use in this paper are Kwiatkowski, Phillips …

In this paper we analyze whether the effect of fiscal policy differs across the business cycle.
To tackle this question, we use a regime-switching error-correction framework, where …