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A floor and ceiling model of US output
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Cited by:
- 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.
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- Coe, P. & Pesaran, M.H. & Vahey, S.P., 2000.
"The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach,"
Cambridge Working Papers in Economics
0005, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2000. "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," CESifo Working Paper Series 346, CESifo.
- L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
- W. Kwan & W. K. Li & K. W. Ng, 2010. "A Multivariate Threshold Varying Conditional Correlations Model," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 20-38.
- Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001.
"Forecasting UK Industrial Production over the Business Cycle,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-424, September.
- Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
- Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 307-326.
- Perez-Quiros, Gabriel & Timmermann, Allan, 2001.
"Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities,"
Journal of Econometrics, Elsevier, vol. 103(1-2), pages 259-306, July.
- Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.
- Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
- Pérez Quirós, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 58, European Central Bank.
- Perez-Quiros, Gabriel & Timmermann, Allan, 2000. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," LSE Research Online Documents on Economics 119098, London School of Economics and Political Science, LSE Library.
- 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.
- 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.
- Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000.
"Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes,"
Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
- Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
- 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.
- Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013.
"Modelling long-run trends and cycles in financial time series data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
- Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
- Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012. "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers 13/12, School of Economics and Business Administration, University of Navarra.
- Woon Gyu Choi & Michael B. Devereux, 2006.
"Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?,"
IMF Staff Papers, Palgrave Macmillan, vol. 53(si), pages 1-8.
- Michael B. Devereux & Woon Gyu Choi, 2004. "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," Econometric Society 2004 Far Eastern Meetings 666, Econometric Society.
- Woon Gyu Choi & Michael B. Devereux, 2005. "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," IMF Working Papers 2005/007, International Monetary Fund.
- Kameda, Keigo, 2014. "What causes changes in the effects of fiscal policy? A case study of Japan," Japan and the World Economy, Elsevier, vol. 31(C), pages 14-31.
- Basci Erdem & Caner Mehmet, 2005.
"Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-21, December.
- Erdem Basci & Mehmet Caner, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test," International Finance 0512001, University Library of Munich, Germany.
- Álvaro Escribano & Oscar Jordá, 2001.
"Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 3(3), pages 193-209.
- Jordá, Óscar, 1997. "Testing nonlinearity: decision rules for selecting between logistic and exponential star models," DES - Working Papers. Statistics and Econometrics. WS 6216, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gamboa-Estrada, Fredy, 2019. "The effectiveness of foreign exchange intervention in Latin America: A nonlinear approach to the coordination channel," Global Finance Journal, Elsevier, vol. 40(C), pages 13-27.
- George Kapetanios, 2003.
"Threshold models for trended time series,"
Empirical Economics, Springer, vol. 28(4), pages 687-707, November.
- Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
- 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.
- Gary Koop & Simon M. Potter, 1999. "Bayesian Analysis of Endogenous Delay Threshold Models," Edinburgh School of Economics Discussion Paper Series 11, Edinburgh School of Economics, University of Edinburgh.
- Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
- Tommaso Proietti, 2023.
"Peaks, gaps, and time‐reversibility of economic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
- Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
- Colin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998.
"Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets,"
Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(3), pages 339-356, January.
- Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
- 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.
- Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
- Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics 0338, Faculty of Economics, University of Cambridge.
- 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.
- 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.
- Jeremy Piger & James Morley & Chang-Jin Kim, 2005.
"Nonlinearity and the permanent effects of recessions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang‐Jin Kim & James Morley & Jeremy Piger, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang-Jin Kim & James Morley & Jeremy M. Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis.
- Clements, Michael P. & Smith, Jeremy, 2002. "Evaluating multivariate forecast densities: a comparison of two approaches," International Journal of Forecasting, Elsevier, vol. 18(3), pages 397-407.
- John M. Griffin & Federico Nardari & Rene M. Stulz, 2004.
"Stock Market Trading and Market Conditions,"
NBER Working Papers
10719, National Bureau of Economic Research, Inc.
- Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Clements, Michael P & Krolzig, Hans-Martin, 2003.
"Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
- Clements, Michael & Krolzig, Hans-Martin, 1998. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economic Research Papers 269248, University of Warwick - Department of Economics.
- Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
- Omay, Tolga & Takay Araz, Bahar & Ilalan, Deniz, 2011. "The effects of terrorist activities on foreign direct investment: nonlinear Evidence," MPRA Paper 31015, University Library of Munich, Germany.
- 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.
- Manzan, Sebastiano & Zerom, Dawit, 2008. "A bootstrap-based non-parametric forecast density," International Journal of Forecasting, Elsevier, vol. 24(3), pages 535-550.
- Ahmad Yamin & Donayre Luiggi, 2016. "Outliers and persistence in threshold autoregressive processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 37-56, February.
- 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.
- Heather M. Anderson & Chin Nam Low, 2006.
"Random Walk Smooth Transition Autoregressive Models,"
Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 247-281,
Emerald Group Publishing Limited.
- Heather M. Anderson & Chin Nam Low, 2004. "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 22/04, Monash University, Department of Econometrics and Business Statistics, revised May 2005.
- Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007.
"Contemporaneous threshold autoregressive models: Estimation, testing and forecasting,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
- Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.
- Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Michael Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers 2006-04, Universidad Torcuato Di Tella.
- Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
- Ke Zhu & Wai Keung Li & Philip L. H. Yu, 2017.
"Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 528-542, October.
- Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
- Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
- Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
- Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
- Yuan-Ming Lee & Kuan-Min Wang, 2012. "Searching for a better proxy for business cycles: with supports using US data," Applied Economics, Taylor & Francis Journals, vol. 44(11), pages 1433-1442, April.
- George Kapetanios & Yongcheol Shin, 2006.
"Unit root tests in three-regime SETAR models,"
Econometrics Journal, Royal Economic Society, vol. 9(2), pages 252-278, July.
- George Kapetanios & Yongcheol Shin, 2002. "Unit Root Tests in Three-Regime SETAR Models," Working Papers 465, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
- Hughes Hallett, A. J. & Piscitelli, Laura, 2002. "Testing for hysteresis against nonlinear alternatives," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 303-327, December.
- Gilles DUFRENOT & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models," Macroeconomics 0309002, University Library of Munich, Germany.
- repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
- 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.
- Donayre, Luiggi & Eo, Yunjong & Morley, James, 2014. "Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples," Working Papers 2014-04, University of Sydney, School of Economics.
- repec:eco:journ2:2017-04-21 is not listed on IDEAS
- John M. Griffin & Federico Nardari & René M. Stulz, 2007.
"Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 905-951.
- Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2005. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," Working Paper Series 2005-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
- Coakley, Jerry & Fuertes, Ana-Marı́a & Pérez, Marı́a-Teresa, 2003.
"Numerical issues in threshold autoregressive modeling of time series,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2219-2242.
- Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2219-2242, September.
- Taylor, Larry W., 2009. "Using the Haar wavelet transform in the semiparametric specification of time series," Economic Modelling, Elsevier, vol. 26(2), pages 392-403, March.
- repec:oxf:wpaper:2000-w36.2 is not listed on IDEAS
- Altissimo, F. & Violante, G.L., 1998.
"Nonlinear VAR: Some Theory and an Application to the US GNP and Unemployment,"
Papers
338, Banca Italia - Servizio di Studi.
- Filippo Altissimo & Giovanni Luca VIolante, 1998. "Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment," Temi di discussione (Economic working papers) 338, Bank of Italy, Economic Research and International Relations Area.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012.
"Was the Recent Downturn in US GDP Predictable?,"
Working Papers
201230, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
- Frédérique Bec & Othman Bouabdallah & Laurent Ferrara, 2011.
"The European Way Out of Recessions,"
THEMA Working Papers
2011-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Othman Bouabdallah & Laurent Ferrara, 2013. "The European Way out of Recession," Post-Print hal-02980626, HAL.
- Bec, F. & Bouabdallah, O. & Ferrara, L., 2012. "The European way out of recession," Working papers 360, Banque de France.
- Alvaro Escribano & Oscar Jorda, "undated".
"Improved Testing And Specification Of Smooth Transition Regression Models,"
Department of Economics
97-26, California Davis - Department of Economics.
- Jordá, Óscar, 1997. "Improved testing and specification of smooth transition regression models," DES - Working Papers. Statistics and Econometrics. WS 6218, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Oscar Jorda & Alvaro Escribano, 2003. "Improved Testing And Specification Of Smooth Transition Regression Models," Working Papers 210, University of California, Davis, Department of Economics.
- Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.
- 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.
- van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy," Econometric Institute Research Papers EI 2003-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Trypsteen, Steven, 2017. "The growth-volatility nexus: New evidence from an augmented GARCH-M model," Economic Modelling, Elsevier, vol. 63(C), pages 15-25.
- Fok, Dennis & van Dijk, Dick & Franses, Philip Hans, 2005.
"Forecasting aggregates using panels of nonlinear time series,"
International Journal of Forecasting, Elsevier, vol. 21(4), pages 785-794.
- Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2004. "Forecasting aggregates using panels of nonlinear time series," Econometric Institute Research Papers EI 2004-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Clements, Michael P & Smith, Jeremy, 1999.
"A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 123-141, March-Apr.
- Clements, Michael P & Smith, Jeremy, 1996. "A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models," The Warwick Economics Research Paper Series (TWERPS) 464, University of Warwick, Department of Economics.
- Clementrs, Michael P. & Smith, Jeremy, 1997. "A Monte Carlo study of the forecasting performance of empirical SETAR models," Economic Research Papers 268734, University of Warwick - Department of Economics.
- 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.
- Andrew P. Blake & George Kapetanios, 2003. "Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 253-267, May.
- George Kapetanios & Yongcheol Shin & Andy Snell, 2000.
"Testing for a Unit Root against Nonlinear STAR Models,"
Edinburgh School of Economics Discussion Paper Series
69, Edinburgh School of Economics, University of Edinburgh.
- George Kapetanios, 2000. "Testing for a Unit Root against Nonlinear STAR Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 164, National Institute of Economic and Social Research.
- Mile Bosnjak, 2017. "Structural Change In Croatian Real Gdp Growth Rates," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 26(1), pages 205-218, june.
- Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
- Kalli, Maria & Griffin, Jim E., 2018. "Bayesian nonparametric vector autoregressive models," Journal of Econometrics, Elsevier, vol. 203(2), pages 267-282.
- 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.
- Patrick Francois & Huw Lloyd-Ellis, 2001.
"Animal Spirits meets Creative Destruction,"
Cahiers de recherche CREFE / CREFE Working Papers
130, CREFE, Université du Québec à Montréal.
- Francois, P. & Lloyd-Ellis, H., 2001. "Animal Spirits Meets Creative Destruction," Other publications TiSEM d583b352-a7f4-434f-8731-9, Tilburg University, School of Economics and Management.
- Francois, P. & Lloyd-Ellis, H., 2001. "Animal Spirits Meets Creative Destruction," Discussion Paper 2001-36, Tilburg University, Center for Economic Research.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
- Mr. Magnus Saxegaard, 2006. "Excess Liquidity and Effectiveness of Monetary Policy: Evidence from Sub-Saharan Africa," IMF Working Papers 2006/115, International Monetary Fund.
- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
- Engel, J. & Haugh, D. & Pagan, A., 2005.
"Some methods for assessing the need for non-linear models in business cycle analysis,"
International Journal of Forecasting, Elsevier, vol. 21(4), pages 651-662.
- James Engel & David Haugh & Adrian Pagan, 2004. "Some methods for assessing the need for non-linear models in business cycle analysis," CAMA Working Papers 2004-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Daniel M. Chin & John Geweke & Preston J. Miller, 2000. "Predicting turning points," Staff Report 267, Federal Reserve Bank of Minneapolis.
- Patrick J. Coe & M. Hashem Pesaran & Shaun P. Vahey, 2005. "The Cost Effectiveness of the UK's Sovereign Debt Portfolio," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 467-495, August.
- Boysen-Hogrefe, Jens & Gern, Klaus-Jürgen & Jannsen, Nils & van Roye, Björn & Scheide, Joachim, 2009. "Weltwirtschaft: Tiefpunkt der Produktion erreicht," Open Access Publications from Kiel Institute for the World Economy 28650, Kiel Institute for the World Economy (IfW Kiel).
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001.
"Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
- Taylor, Mark & Peel, David & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
- Manzan, S. & Zerom, D., 2005. "A Multi-Step Forecast Density," CeNDEF Working Papers 05-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
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