Browsing Research Articles (Economics) by Subject "Nonparametric"

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Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test

Balcilar, Mehmet; Gupta, Rangan; Sousac, Ricardo M.; Wohar, Mark E. (Elsevier, 2017-03)

We use a nonparametric causality-in-quantiles test to compare the predictive ability of the consumption-wealth ratio (cay) and the Markov Switching version (cayMS) for excess and real stock and housing returns and their ...
Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan (Elsevier, 2012-04)

This paper is the first one to analyse the ability of linear and nonlinear monetary policy rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes ...
The growth-inflation nexus for the U.S. from 1801 to 2013 : a semiparametric approach

Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl (Elsevier, 2017-05)

We study the existence of a threshold level of inflation for the U.S. economy over 1801–2013, beyond which it has a negative effect on economic growth. A combination of nonparametric (NP) and instrumental variable ...

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