Bayesian Analysis of Endogenous Delay Threshold Models
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Koop, Gary & Potter, Simon M, 2003. "Bayesian Analysis of Endogenous Delay Threshold Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 93-103, January.
References listed on IDEAS
- Koop, Gary & Potter, Simon M, 1999.
"Dynamic Asymmetries in U.S. Unemployment,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
- Gary Koop & Simon M. Potter, 1998. "Dynamic asymmetries in US unemployment," Edinburgh School of Economics Discussion Paper Series 15, Edinburgh School of Economics, University of Edinburgh.
- Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
- Potter, Simon M, 1995.
"A Nonlinear Approach to US GNP,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
- Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Hess, Gregory D. & Iwata, Shigeru, 1997.
"Asymmetric persistence in GDP? A deeper look at depth,"
Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
- Gregory D. Hess & Shigeru Iwata, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Research Working Paper 97-02, Federal Reserve Bank of Kansas City.
- Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- John Geweke & Nobuhiko Terui, 1993. "Bayesian Threshold Autoregressive Models For Nonlinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(5), pages 441-454, September.
- Dennis W. Jansen & Wankeun Oh, 1999. "Modeling Nonlinearity of Business Cycles: Choosing Between the CDR and STAR Models," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 344-349, May.
- Pesaran, M. Hashem & Potter, Simon M., 1997.
"A floor and ceiling model of US output,"
Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
- Pesaran, H.M. & Potter, S.M., 1995. "A Floor and Ceiling Model of U.S. Output," Cambridge Working Papers in Economics 9407, Faculty of Economics, University of Cambridge.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008.
"Forecasting Substantial Data Revisions in the Presence of Model Uncertainty,"
Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
- Anthony Garratt & Gary Koop & Shaun P. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
- Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
- Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0617, Birkbeck, Department of Economics, Mathematics & Statistics.
- Tomas Konecny & Oxana Babecka-Kucharcukova, 2016.
"Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
- Konečný, Tomáš & Babecká Kucharčuková, Oxana, 2014. "Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic," Working Paper Series 1730, European Central Bank.
- Michal Franta, 2016.
"The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 147-166, March.
- Michal Franta, 2013. "The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts," Working Papers 2013/09, Czech National Bank.
- Knight John & Satchell Stephen, 2011. "Some New Results for Threshold AR(1) Models," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-42, April.
- Gordon, Stephen & Bélanger, Gilles, 1996.
"Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
- GORDON, Stephen & BÉLANGER, Gilles, 1995. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," Cahiers de recherche 9509, Université Laval - Département d'économique.
- Gordon, S. & Belanger, G., 1995. "Echantillonnage de Gibbs et autres application econometriques des chaines merkoviennes," Papers 9509, Laval - Recherche en Politique Economique.
- Gary Koop & Simon M. Potter, 2009.
"Prior Elicitation In Multiple Change-Point Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 751-772, August.
- Gary Koop & Simon M. Potter, 2004. "Prior elicitation in multiple change-point models," Staff Reports 197, Federal Reserve Bank of New York.
- Gary Koop & Simon M. Potter, 2007. "Prior Elicitation in Multiple Change-point Models," Working Paper series 17_07, Rimini Centre for Economic Analysis.
- Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Division of Economics, School of Business, University of Leicester.
- Franta, Michal, 2021.
"The Likelihood Of Effective Lower Bound Events,"
Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2058-2079, December.
- Michal Franta, 2018. "The Likelihood of Effective Lower Bound Events," Working Papers 2018/3, Czech National Bank.
- Michal Franta, 2018. "The likelihood of effective lower bound events," BIS Working Papers 731, Bank for International Settlements.
- Jaehee Kim & Chulwoo Jeong, 2016. "A Bayesian multiple structural change regression model with autocorrelated errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1690-1705, July.
- Michael L. Polemis & Thanasis Stengos, 2019.
"Does competition prevent industrial pollution? Evidence from a panel threshold model,"
Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 98-110, January.
- Polemis, Michael & Stengos, Thanasis, 2017. "Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model," MPRA Paper 85177, University Library of Munich, Germany.
- Michael L. Polemis & Thanasis Stengos, 2017. "Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model," Working Paper series 17-07, Rimini Centre for Economic Analysis.
- Rodney W. Strachan & Herman K. Van Dijk, 2013.
"Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
- Rodney Strachan & Herman K. van Dijk, 2012. "Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging," Tinbergen Institute Discussion Papers 12-025/4, Tinbergen Institute.
- Ana Beatriz Galvão & Michael Artis & Massimiliano Marcellino, 2007.
"The transmission mechanism in a changing world,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.
- Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003. "The transmission mechanism in a changing world," Economics Working Papers ECO2003/18, European University Institute.
- Artis, Michael & Marcellino, Massimiliano & Galvão, Ana Beatriz, 2003. "The Transmission Mechanism in a Changing World," CEPR Discussion Papers 4014, C.E.P.R. Discussion Papers.
- Minxian Yang, 2014. "Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 305-336, June.
- Jean-Marc Le Caillec, 2021. "Threshold autoregressive model blind identification based on array clustering," Post-Print hal-03210735, HAL.
- Franta, Michal, 2017.
"Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence,"
Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 136-157.
- Michal Franta, 2015. "Rare Shocks vs. Non-linearities: What Drives Extreme Events in the Economy? Some Empirical Evidence," Working Papers 2015/04, Czech National Bank.
- Yuzhi Cai & Guodong Li, 2018. "A novel approach to modelling the distribution of financial returns," Working Papers 2018-22, Swansea University, School of Management.
- Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Simon Potter, 1999.
"Nonlinear Time Series Modelling: An Introduction,"
Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-528, December.
- Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
- Filippo Altissimo & Giovanni L. Violante, 2001.
"The non-linear dynamics of output and unemployment in the U.S,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
- Altissimo, Filippo & Violante, Giovanni, 2000. "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers 2475, C.E.P.R. Discussion Papers.
- Adrian Pagan, 2001.
"The Getting of Macroeconomic Wisdom,"
International Economic Association Series, in: Jacques Drèze (ed.), Advances in Macroeconomic Theory, chapter 11, pages 219-235,
Palgrave Macmillan.
- Adrian Pagan, 1999. "The Getting of Macroeconomic Wisdom," CEPR Discussion Papers 412, Centre for Economic Policy Research, Research School of Economics, Australian National University.
- Régis Barnichon & Christian Matthes, 2014.
"Gaussian Mixture Approximations of Impulse Responses and the Nonlinear Effects of Monetary Shocks,"
Working Paper
16-8, Federal Reserve Bank of Richmond.
- Barnichon, Regis & Matthes, Christian, 2016. "Gaussian Mixture Approximations of Impulse Responses and The Non-Linear Effects of Monetary Shocks," CEPR Discussion Papers 11374, C.E.P.R. Discussion Papers.
- Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
- Boswijk, H.P. & van Dijk, D. & Franses, P.H., 2000.
"Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models,"
CeNDEF Working Papers
00-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- van Dijk, D.J.C. & Franses, Ph.H.B.F. & Boswijk, H.P., 2000. "Asymmetric and common absorption of shocks in nonlinear autoregressive models," Econometric Institute Research Papers EI 2000-01/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- H. Peter Boswijk & Philip Hans Franses & Dick van Dijk, 2000. "Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models," Econometric Society World Congress 2000 Contributed Papers 0765, Econometric Society.
- Ólan T. Henry & Peter M. Summers, 2000.
"Australian Economic Growth: Nonlinearities and International Influences,"
The Economic Record, The Economic Society of Australia, vol. 76(235), pages 365-373, December.
- Henry, O.T. & Summers, P.M., 2000. "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series 738, The University of Melbourne.
- Ulrich Woitek, 2004. "Real Wages and Business Cycle Asymmetries," CESifo Working Paper Series 1206, CESifo.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205,
Edward Elgar Publishing.
- Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Kalli, Maria & Griffin, Jim E., 2018. "Bayesian nonparametric vector autoregressive models," Journal of Econometrics, Elsevier, vol. 203(2), pages 267-282.
- van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May.
- Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
- Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.
- Karamé, Frédéric, 2015.
"Asymmetries and Markov-switching structural VAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
- Frédéric Karamé, 2015. "Asymmetries and Markov-switching structural VAR," Post-Print hal-02296101, HAL.
- Gary Koop & Simon M. Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York.
- McKay, Alisdair & Reis, Ricardo, 2008.
"The brevity and violence of contractions and expansions,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.
- Alisdair McKay & Ricardo Reis, 2006. "The Brevity and Violence of Contractions and Expansions," NBER Working Papers 12400, National Bureau of Economic Research, Inc.
- McKay, Alisdair, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers.
- Dijk, Dick van & Franses, Philip Hans, 1999.
"Modeling Multiple Regimes in the Business Cycle,"
Macroeconomic Dynamics, Cambridge University Press, vol. 3(3), pages 311-340, September.
- van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Kanazawa, Nobuyuki, 2020.
"Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks,"
Journal of Macroeconomics, Elsevier, vol. 64(C).
- KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018. "Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks," Discussion paper series HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
- Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003.
"On SETAR non-linearity and forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
- Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
More about this item
Keywords
nonlinearity; threshold autoregression; Markov Chain Monte Carlo; Gibbs sampler;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:edn:esedps:11. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Research Office (email available below). General contact details of provider: https://edirc.repec.org/data/deediuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.