Smooth transition autoregressive models—a survey of recent developments
This paper surveys recent developments related to the smooth transition autoregressive
(STAR) time series model and several of its variants. We put emphasis on new methods for …
(STAR) time series model and several of its variants. We put emphasis on new methods for …
An econometric analysis of UK money demand in monetary trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz
This paper evaluates an empirical model of UK money demand developed by Milton
Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United …
Friedman and Anna J. Schwartz in Monetary Trends in the United States and the United …
Investigating the relationship between gold and silver prices
A Escribano, CWJ Granger - Journal of Forecasting, 1998 - Wiley Online Library
This paper analyses the long‐run relationship between gold and silver prices. The three
main questions addressed are: the influence of a large bubble from 1979: 9 to 1980: 3 on …
main questions addressed are: the influence of a large bubble from 1979: 9 to 1980: 3 on …
Recent developments in nonlinear cointegration with applications to macroeconomics and finance
G Dufrénot, V Mignon - 2002 - books.google.com
This book is an introductory exposition of different topics that emerged in the literature as
unifying themes between two fields of econometrics of time series, namely nonlinearity and …
unifying themes between two fields of econometrics of time series, namely nonlinearity and …
Alternative approaches to analyzing economic data
M Friedman, AJ Schwartz - The American Economic Review, 1991 - JSTOR
This paper compares two approaches to the analysis of economic data: the exclusively
econometric approach recommended by Hendry and Ericsson and the more eclectic …
econometric approach recommended by Hendry and Ericsson and the more eclectic …
Local polynomial fitting and spatial price relationships: price transmission in EU pork markets
We study price transmission processes within EU pork markets after the implementation of
the EU single market in 1993. We compare results derived from non-parametric regressions …
the EU single market in 1993. We compare results derived from non-parametric regressions …
Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model
W Moussa, N Mgadmi, A Béjaoui, R Regaieg - Resources Policy, 2021 - Elsevier
This paper investigates the dynamic relationships between Bitcoin, Oil, Natural Gas, Gold
and Coal in the short-and long-run over the period 2011–2018. For this end, we use a …
and Coal in the short-and long-run over the period 2011–2018. For this end, we use a …
The demand for broad money in the United Kingdom, 1878–1993
Using annual data from Friedman and Schwartz (1982), Hendry and Ericsson (1991a)
developed an empirical model of the demand for broad money in the United Kingdom over …
developed an empirical model of the demand for broad money in the United Kingdom over …
Nonlinear error correction: The case of money demand in the United Kingdom (1878–2000)
A Escribano - Macroeconomic Dynamics, 2004 - cambridge.org
This paper explores single-equation nonlinear error correction (NEC) models with linear and
nonlinear cointegrated variables. Within the class of semiparametric NEC models, we use …
nonlinear cointegrated variables. Within the class of semiparametric NEC models, we use …
Non-linear error correction, asymmetric adjustment and cointegration
This article links the intertemporal choice model with the non-linear error correction (NEC)
model. It has three main components. First, it outlines a model of non-linear error correction …
model. It has three main components. First, it outlines a model of non-linear error correction …