We develop a cointegrating nonlinear autoregressive distributed lag (NARDL) model in which short- and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables. We demonstrate that the model is estimable by OLS and that reliable long-run inference can be achieved by bounds-testing regardless of the integration orders of the variables. Furthermore, we derive asymmetric dynamic multipliers that graphically depict the traverse between the short- and the long-run. The salient features of the model are illustrated using the example of the nonlinear unemployment-output relationship in the US, Canada and Japan.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2344046_code1643826.pdf?abstractid=1807745&mirid=5

Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.

Modelling Financial Time Series

Lecture Notes in Economics and Mathematical Systems

: One use of spectral analysis of time series is to determine if two different time series are realizations from the same process This thesis develops the theory behind Krishnaiah and Schuurmann's theoretical work reported in their report Approximations to the Distributions of the Traces of Complex Multivariate Beta and F Matrices We take the trace of a test statistic calculated from the spectral density matrices of the time series and test it The thesis applies the theory to two small sample simulations (Author)

Spectral Analysis of Time Series.

The Economic Approach To Human Behavior

http://directory.umm.ac.id/Data%20Elmu/jurnal/E/Economics%20Letters/Vol70.Issue2.Feb2001/1871.pdf

The Okun curve is non-linear

Social security and household saving in an international cross section

This paper highlights the implications for EU macroeconomic policy at a relatively disaggregated level when key economic relationships are nonlinear or asymmetric. Using data for the EU and OECD countries we show that there are considerable non-linearities and asymmetries in the Phillips and Okun curves. High unemployment has a relatively limited effect in pulling inflation down while low unemployment can be much more effective in driving it up. Downturns in the economy are both more rapid and sustained in driving unemployment up than recoveries are in bringing it down. There is considerable variety in these relationships and in IS curves across not just countries but also sectors and regions. Key words: aggregation, asymmetry, monetary policy, nonlinear models, Okun curve, Phillips curve

/pdf/asymmetry-and-the-problem-of-aggregation-in-the-euro-area-26txf4iqzf.pdf

Asymmetry and the Problem of Aggregation in the Euro Area

The Exchange Rate and Monetary Conditions in the Euro Area. — Using information from a variety of sources, this paper suggests that the exchange rate will play an important role in the transmission of the impact of monetary policy on the real economy and inflation in the euro area. As a first approximation it would be reasonable to assume that an increase in the real 90-day interest rate of 100 basis points would have the same effect on demand two years later as a 3.5 percent fall in the real euro exchange rate. This implies that the euro area will tend to behave like a large open economy rather than a closed economy and hence that it would be helpful in informing monetary policy to construct a Monetary Conditions Index (MCI).

/pdf/the-exchange-rate-and-monetary-conditions-in-the-euro-area-5jhwx2di97.pdf

The exchange rate and monetary conditions in the Euro area

This paper re-examines the relationship between government size and output volatility from two perspectives First, we use a wider international data set of 91 countries over the period 1980â€“1999 and thus not only the OECD data that have thus far been utilized Second, we also allow for time series aspect by using panel data estimations We have two new findings First, the results from OECD countries about the negative relationship between output volatility and government size cannot be generalized to a wider international data set Second, the relationship between government size and output volatility seems to be nonlinear More precisely, the negative effect of government size on output volatility is significantly negative only for countries with high and small public sectors

/pdf/government-size-and-output-volatility-new-international-4zycwllbzz.pdf

Matti Virén

Papers

The Okun curve is non-linear

Social security and household saving in an international cross section

Asymmetry and the Problem of Aggregation in the Euro Area

The exchange rate and monetary conditions in the Euro area

Government Size and Output Volatility:New International Evidence