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Testing for a Unit Root against Transitional Autoregressive Models
(Vanderbilt University, 2005)
This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear ...
On the Long-Run Variance Ratio Test for a Unit Root
(Vanderbilt University, 2005)
This paper investigates the effects of consistent and inconsistent long-run variance estimation on a unit root test based on the generalization of the von Neumann ratio. The results from the Monte Carlo experiments suggest ...
Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis
(Vanderbilt University, 2009)
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the ...