From these conditions it is shown that imposing parametric restrictions on only one of the regimes of the non-linear vector autoregression is sufficient to ensure higher-order moments and linear ...

Exchange rate pass-through in a set of euro area prices along the pricing chain is examined. Using a vector autoregression (VAR) approach, the empirics analyze the joint time-series behavior of the ...

Using quarterly data from 1968 to 1988, we analyze the time series properties of the various attack modes used by transnational terrorists. Combining vector autoregression and intervention analysis, ...