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 …

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 …

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} …

One of the most successful forecasting machine learning (ML) procedures is random forest
(RF). In this paper, we propose a new mixed RF approach for modeling departures from …

This book provides a likelihood-based introduction to econometrics. In essence, the idea is
to carefully investigate the sample variation in the data, then exploit that information to learn …

A vast literature on market integration and price transmission has accumulated over the last
half century. This literature has received major impetus, first from the introduction of …

This paper analyzes the long-run relationship between gold and silver prices. We closely
follow Escribano and Granger (J Forecast 17: 81–107, 1998) and extend their study. We use …

Cointegration is studied for a non‐linear autoregressive process characterized by
discontinuous and regime‐dependent equilibrium or error correction. Here the …

Traditional tests fail to detect the presence of nonlinearities in series that are cointegrated,
so in this paper a new procedure for cointegration tests is proposed by modifying the two …