By a forecast will be meant any statement about 'the future', where the future is relative to the
analyst's viewpoint. So as well as the common sense notion of a forecast of what will happen …

A survey is given on regime switching in econometric time series modelling. Numerous
references to applied as well as methodological literature are presented. A distinction …

We test whether there are nonlinearities in the response of short-and long-term interest rates
to the spread in interest rates, and assess the out-of-sample predictability of interest rates …

Most studies examining the expectations hypothesis (EH) of the term structure of interest
rates assume that the adjustment process between short term and long term interest rates is …

In this paper, I review recent developments on modelling macroeconomic variables with non-
linear VARs. Specifically, the class of threshold VARs, including systems with threshold …

In this article we examine the performance of an extended approach to testing for threshold
cointegration that relies on the threshold specification process suggested by Gonzalo and …

This book seeks to provide a comprehensive analysis of the economic and financial
conditions of Mauritius. A rigorous analysis of the financial sector of Mauritius is provided …

This paper explores the correlations of the short-and long-term interest rates through time in
South Africa. Two time series techniques are utilised: the Kapetanios et al.(2003) nonlinear …

Tests for a unit root using three-regime threshold autoregressive (TAR) models play a
significant role in the empirical analysis of some economic theories. This article compares …

Testing for cointegration in the presence of nonlinear adjustments or structural breaks is
important for examining the equilibrium relationship among economic variables. It is known …