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A Nonlinear Approach to U.S. GNP

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Cited by:

  1. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
  2. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
  3. Stanislav Anatolyev & Andrey Vasnev, 2002. "Markov chain approximation in bootstrapping autoregressions," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-8.
  4. Fève, Patrick & Sanchez, Pablo Garcia & Moura, Alban & Pierrard, Olivier, 2021. "Costly default and skewed business cycles," European Economic Review, Elsevier, vol. 132(C).
  5. Barry K. Goodwin & Matthew T. Holt, 1999. "Price Transmission and Asymmetric Adjustment in the U.S. Beef Sector," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 630-637.
  6. Quentin LAJAUNIE, 2021. "Nonlinear Impulse Response Function for Dichotomous Models," LEO Working Papers / DR LEO 2852, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  7. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
  8. Antonin Aviat & Frédérique Bec & Claude Diebolt & Catherine Doz & Denis Ferrand & Laurent Ferrara & Eric Heyer & Valérie Mignon & Pierre-Alain Pionnier, 2021. "Dating business cycles in France: a reference chronology," SciencePo Working papers Main hal-03373425, HAL.
  9. 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.
  10. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
  11. Anne Morrison Piehl & Suzanne J. Cooper & Anthony A. Braga & David M. Kennedy, 2003. "Testing for Structural Breaks in the Evaluation of Programs," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 550-558, August.
  12. Ghosn, Sandra, 2014. "Le rôle de la psychologie dans les dynamiques de la production, des inégalités et de la redistribution," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14330 edited by Jacques, Jean-François.
  13. Dieter Gerdesmeier & Hans‐Eggert Reimers & Barbara Roffia, 2010. "Asset Price Misalignments and the Role of Money and Credit," International Finance, Wiley Blackwell, vol. 13(3), pages 377-407, December.
  14. Chin Nam Low & Heather Anderson & Ralph D. Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Monash Econometrics and Business Statistics Working Papers 17/06, Monash University, Department of Econometrics and Business Statistics.
  15. Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
  16. Jiayue Zhang & Fukang Zhu & Huaping Chen, 2023. "Two-Threshold-Variable Integer-Valued Autoregressive Model," Mathematics, MDPI, vol. 11(16), pages 1-20, August.
  17. Octavio Fernández-Amador & Josef Baumgartner & Jesús Crespo-Cuaresma, 2010. "Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," Working Papers 2010-21, Faculty of Economics and Statistics, Universität Innsbruck.
  18. Laurent Ferrara & Dominique Guégan, 2006. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
  19. Paap, Richard & van Dijk, Herman K, 2003. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-563, October.
  20. repec:kap:iaecre:v:15:y:2009:i:2:p:143-155 is not listed on IDEAS
  21. Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015. "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, vol. 189(2), pages 415-427.
  22. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  23. Fabio Gobbi, 2021. "Evaluating Forecasts from State-Dependent Autoregressive Models for US GDP Growth Rate. Comparison with Alternative Approaches," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 11(6), pages 1-7.
  24. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
  25. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
  26. 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.
  27. Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604.
  28. Ben Kaabia, Monia & Gil, Jose Maria & Boshnjaku, L., 2002. "Price Transmission Asymmetries in the Spanish Lamb Sector," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24908, European Association of Agricultural Economists.
  29. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2019. "Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 62-78, February.
  30. Bradley Michael D. & Jansen Dennis W., 2000. "Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-23, July.
  31. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
  32. Allan D. Brunner, 1997. "On The Dynamic Properties Of Asymmetric Models Of Real GNP," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 321-352, May.
  33. 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.
  34. Pablo Mejia-Reyes & Denise Osborn & Marianne Sensier, 2010. "Modelling real exchange rate effects on output performance in Latin America," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2491-2503.
  35. Ubilava, David & holt, Matt, 2013. "El Ni~no southern oscillation and its effects on world vegetable oil prices: assessing asymmetries using smooth transition models," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 57(2), pages 1-25.
  36. Dilip Nachane & Jose Clavel, 2008. "Forecasting interest rates: a comparative assessment of some second-generation nonlinear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(5), pages 493-514.
  37. Chen, Haiqiang, 2015. "Robust Estimation And Inference For Threshold Models With Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 31(4), pages 778-810, August.
  38. 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.
  39. Pitarakis Jean-Yves, 2006. "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-30, March.
  40. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
  41. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  42. Kapetanios, G. & Weeks, M., 2003. "Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests," Cambridge Working Papers in Economics 0308, Faculty of Economics, University of Cambridge.
  43. Mohammad Mirbagherijam, 2014. "Thresholds Effect of Money Growth on Inflation in Iran," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(9), pages 319-329, September.
  44. repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
  45. Martin Chalkley & In Ho Lee, 1998. "Learning and Asymmetric Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 623-645, July.
  46. Jackson, Laura E. & Owyang, Michael T. & Soques, Daniel, 2018. "Nonlinearities, smoothing and countercyclical monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 136-154.
  47. Habibullah, M.S. & Dayang-Afizzah, A.M. & Liew, Venus Khim-Sen & Lim, Kian-Ping, 2008. "Testing nonlinear convergence in Malaysia,1965-2003," MPRA Paper 12110, University Library of Munich, Germany.
  48. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  49. Goodwin, Barry K. & Harper, Daniel C., 2000. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-11, December.
  50. 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.
  51. Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
  52. Bahar Araz-Takay & K. Peren Arin & Tolga Omay, 2009. "The Endogenous And Non-Linear Relationship Between Terrorism And Economic Performance: Turkish Evidence," Defence and Peace Economics, Taylor & Francis Journals, vol. 20(1), pages 1-10.
  53. Elvio Accinelli & Juan Gabriel Brida, 2007. "Modelos económicos con múltiples regímenes," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(2), pages 96-115.
  54. Simon M. Potter, 1999. "Fluctuations in confidence and asymmetric business cycles," Staff Reports 66, Federal Reserve Bank of New York.
  55. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d'accélération pour l'économie française," Economie & Prévision, La Documentation Française, vol. 0(3), pages 95-114.
  56. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
  57. Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018. "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 36(85), pages 48-64, November.
  58. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
  59. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
  60. Abdulai, Awudu, 2000. "Spatial price transmission and asymmetry in the Ghanaian maize market," Journal of Development Economics, Elsevier, vol. 63(2), pages 327-349, December.
  61. Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
  62. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Post-Print halshs-00185372, HAL.
  63. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
  64. 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.
  65. Donayre Luiggi & Eo Yunjong & Morley James, 2018. "Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-11, February.
  66. 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).
  67. Kiani, Khurshid M., 2016. "On business cycle fluctuations in USA macroeconomic time series," Economic Modelling, Elsevier, vol. 53(C), pages 179-186.
  68. Bradley T. Ewing & James E. Payne & Mark A. Thompson & Omar M. Al‐Zoubi, 2006. "Government Expenditures and Revenues: Evidence from Asymmetric Modeling," Southern Economic Journal, John Wiley & Sons, vol. 73(1), pages 190-200, July.
  69. Manner, H., 2008. "Testing for Asymmetric Dependence," Research Memorandum 042, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  70. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
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  72. Stefan Avdjiev & Zheng Zeng, 2014. "Credit growth, monetary policy and economic activity in a three-regime TVAR model," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2936-2951, August.
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  74. Huanxing Yang, 2010. "Information aggregation and investment cycles with strategic complementarity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 43(2), pages 281-311, May.
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  78. Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019. "Residential investment and recession predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
  79. Rozina Shaheen, 2020. "Credit market conditions and impact of monetary policy in a developing economy context," International Economics and Economic Policy, Springer, vol. 17(2), pages 409-425, May.
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  81. Monia Ben-Kaabia & José M. Gil & Mehrez Ameur, 2005. "Vertical integration and non-linear price adjustments: The Spanish poultry sector," Agribusiness, John Wiley & Sons, Ltd., vol. 21(2), pages 253-271.
  82. Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
  83. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
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  86. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
  87. 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.
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  96. Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604, July.
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