A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure

[1]  Jan G. De Gooijer,et al.  Forecasting threshold cointegrated systems , 2004 .

[2]  Michael P. Clements,et al.  A companion to economic forecasting , 2004 .

[3]  Michael P. Clements,et al.  TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS , 2003, Macroeconomic Dynamics.

[4]  Tommaso Proietti,et al.  Forecasting the US unemployment rate , 2003, Comput. Stat. Data Anal..

[5]  T. Teräsvirta,et al.  Time-Varying Smooth Transition Autoregressive Models , 2003 .

[6]  B. Hansen,et al.  Testing for two-regime threshold cointegration in vector error-correction models , 2002 .

[7]  Jean-Yves Pitarakis,et al.  Estimation and Model Selection Based Inference in Single and Multiple Threshold Models , 2002 .

[8]  Farshid Vahid,et al.  PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS , 2001, Macroeconomic Dynamics.

[9]  Kenneth D West,et al.  Tests for Forecasts Encompassing When Forecasts Depend on Estimated Regression Parameters , 2001 .

[10]  James D. Hamilton,et al.  A Reexamination of the Predictability of Economic Activity Using the Yield Spread , 2000 .

[11]  Timo Teräsvirta,et al.  Forecasting with smooth transition autoregressive models , 2000 .

[12]  Simon M. Potter,et al.  Surveys in economic dynamics , 2000 .

[13]  Bruce E. Hansen,et al.  Testing for linearity , 1999 .

[14]  Todd E. Clark.  Finite‐sample properties of tests for equal forecast accuracy , 1999 .

[15]  Todd E. Clark,et al.  Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .

[16]  D. Vandijk.  Smooth Transition Models: Extensions and Outlier Robust Inference , 1999 .

[17]  H. White,et al.  Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger , 1999 .

[18]  R. Tsay.  Testing and modeling multivariate threshold models , 1998 .

[19]  Clive W. J. Granger,et al.  Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates , 1998 .

[20]  M. Wickens,et al.  A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests , 1998 .

[21]  G. C. Tiao,et al.  Journal of the American Statistical Association Forecasting the U.s. Unemployment Rate Forecasting the U.s. Unemployment Rate , 2022 .

[22]  J. Stock,et al.  A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series , 1998 .

[23]  Ton Vorst,et al.  A Threshold Error Correction Model for Intraday Futures and Index Returns , 1998 .

[24]  P. Newbold,et al.  Tests for Forecast Encompassing , 1998 .

[25]  Philip Rothman,et al.  Forecasting Asymmetric Unemployment Rates , 1998, Review of Economics and Statistics.

[26]  W. Enders,et al.  Cointegration and Threshold Adjustment , 1998 .

[27]  Frederic S. Mishkin,et al.  Predicting U.S. Recessions: Financial Variables as Leading Indicators , 1995, Review of Economics and Statistics.

[28]  Michael P. Clements,et al.  A Comparison of the Forecast Performance of Markov�?Switching and Threshold Autoregressive Models of Us Gnp , 1998 .

[29]  Margaret Mary McConnell,et al.  Output Fluctuations in the United States: What Has Changed Since the Early 1980s? , 1998 .

[30]  Heather M. Anderson,et al.  Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market , 1997 .

[31]  Paul Newbold,et al.  Testing the equality of prediction mean squared errors , 1997 .

[32]  J. Bai,et al.  Estimating Multiple Breaks One at a Time , 1997, Econometric Theory.

[33]  Peter Christoffersen,et al.  Working Papers Working Papers Working Papers Working Papers Cointegration and Long-horizon Forecasting Cointegration and Long-horizon Forecasting , 2022 .

[34]  P. Franses,et al.  Nonlinear Error-Correction Models for Interest Rates in The Netherlands , 1997 .

[35]  Michael P. Clements,et al.  A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models , 1999 .

[36]  Michael P. Clements,et al.  The Performance of Alternative Forecasting Methods for SETAR Models , 1997 .

[37]  Stephen Gray.  Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process , 1996 .

[38]  R. Tschernig,et al.  Nonlinear Interest Rate Dynamics and Implications for the Term Structure , 1996 .

[39]  Bruce E. Hansen,et al.  Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis , 1996 .

[40]  William Roberds,et al.  A Daily View of Yield Spreads and Short-Term Interest Rate Movements , 1996 .

[41]  Peter R. Locke,et al.  Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash , 1996 .

[42]  James B. Ramsey,et al.  If Nonlinear Models Cannot Forecast, What Use Are They? , 1996 .

[43]  Michael P. Clements,et al.  Forecasting in Cointegrated Systems , 1995 .

[44]  Glenn D. Rudebusch.  Federal Reserve interest rate targeting, rational expectations, and the term structure , 1995 .

[45]  John Y. Campbell,et al.  Some Lessons from the Yield Curve , 1995 .

[46]  Vance L. Martin,et al.  Modelling the Term Structure , 1995 .

[47]  K. West,et al.  Asymptotic Inference about Predictive Ability , 1996 .

[48]  G. Hardouvelis,et al.  The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle? , 1994 .

[49]  G. C. Tiao,et al.  Some advances in non‐linear and adaptive modelling in time‐series , 1994 .

[50]  C. Granger,et al.  Modelling Nonlinear Economic Relationships , 1995 .

[51]  Michael P. Clements,et al.  On the limitations of comparing mean square forecast errors , 1993 .

[52]  Clive W. J. Granger,et al.  A cointegration analysis of treasury bill yields , 1992 .

[53]  Horst Kräger,et al.  Non-linearities in foreign exchange markets: a different perspective , 1991 .

[54]  Howell Tong,et al.  Non-Linear Time Series , 1990 .

[55]  H. Tong.  Non-linear time series. A dynamical system approach , 1990 .

[56]  Ruey S. Tsay,et al.  Testing and Modeling Threshold Autoregressive Processes , 1989 .

[57]  S. Johansen.  STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .

[58]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[59]  Robert J. Shiller,et al.  Cointegration and Tests of Present Value Models , 1987, Journal of Political Economy.

[60]  D. Hendry,et al.  Econometric Evaluation of Linear Macro-Economic Models , 1986 .

[61]  Jeffrey A. Miron,et al.  The Changing Behavior of the Term Structure of Interest Rates , 1986 .