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A Comparison Of The Forecast Performance Of Markov-Switching And Threshold Autoregressive Models Of Us Gnp

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  1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
  2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  3. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
  4. Bec, Frédérique & Bouabdallah, Othman & Ferrara, Laurent, 2015. "Comparing the shape of recoveries: France, the UK and the US," Economic Modelling, Elsevier, vol. 44(C), pages 327-334.
  5. Andrea Bucci, 2020. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
  6. Knüppel, Malte, 2009. "Testing Business Cycle Asymmetries Based on Autoregressions With a Markov-Switching Intercept," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 544-552.
  7. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
  8. Davidson, James, 2004. "Forecasting Markov-switching dynamic, conditionally heteroscedastic processes," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 137-147, June.
  9. Clements, M.C. & Krolzig, H.-M., 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 9958, University of Oxford, Department of Economics.
  10. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
  11. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
  12. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  13. Galvão, Ana Beatriz C., 2003. "Multivariate Threshold Models: TVARs and TVECMs," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(1), May.
  14. Bec, Frédérique & Bouabdallah, Othman & Ferrara, Laurent, 2014. "The way out of recessions: A forecasting analysis for some Euro area countries," International Journal of Forecasting, Elsevier, vol. 30(3), pages 539-549.
  15. Lucio Sarno & Giorgio Valente, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376, March.
  16. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  17. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  18. Johnny Siu-Hang Li & Wai-Sum Chan & Rui Zhou, 2017. "Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 1025-1065, September.
  19. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  20. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  21. Q.Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2006. "Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 333-377, Emerald Group Publishing Limited.
  22. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
  23. Pablo Mejía-Reyes, 2000. "Asymmetries and Common Cycles in Latin America: Evidence from Markov-Switching Models," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 189-225, July-Dece.
  24. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  25. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  26. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "Federal Funds Rate Prediction," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
  27. Moritz Cruz, 2005. "A three-regime business cycle model for an emerging economy," Applied Economics Letters, Taylor & Francis Journals, vol. 12(7), pages 399-402.
  28. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  29. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
  30. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
  31. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  32. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  33. Kierzenkowski, R. & Oung, V., 2007. "L’évolution des crédits à l’habitat en France : une grille d’analyse en termes de cycles," Working papers 172, Banque de France.
  34. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
  35. Tarlok Singh, 2012. "Testing nonlinearities in economic growth in the OECD countries: an evidence from SETAR and STAR models," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3887-3908, October.
  36. Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
  37. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  38. Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
  39. Dahl Christian M. & Gonzalez-Rivera Gloria, 2003. "Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-35, April.
  40. Panagiotidis, Theodore & Pelloni, Gianluigi, 2007. "Nonlinearity In The Canadian And U.S. Labor Markets: Univariate And Multivariate Evidence From A Battery Of Tests," Macroeconomic Dynamics, Cambridge University Press, vol. 11(5), pages 613-637, November.
  41. Dick van Dijk & Philip Hans Franses, 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 727-744, December.
  42. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2011. "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS 12160, Universidad Carlos III de Madrid. Departamento de Estadística.
  43. Hui Feng & Jia Liu, 2003. "A SETAR model for Canadian GDP: non-linearities and forecast comparisons," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1957-1964.
  44. Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Working Papers 0030, University of Washington, Department of Economics.
  45. Barsoum, Fady & Stankiewicz, Sandra, 2015. "Forecasting GDP growth using mixed-frequency models with switching regimes," International Journal of Forecasting, Elsevier, vol. 31(1), pages 33-50.
  46. Krolzig, Hans-Martin, 2001. "Business cycle measurement in the presence of structural change: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 349-368.
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