Modeling Multiple Regimes in the Business Cycle

DOI10.1017/S136510059901202XMaRDI QIDQ4934750zbMATH OpenFDO

Authors Dick van Dijk, Philip Hans Franses

Publication date 1999

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S136510059901202X

zbMATH Keywords

autoregressionbusiness-cycle asymmetryLagrange multiplier testmultiple regimessmooth-transition

Mathematics Subject Classification ID

Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Cited in

(15)

• Can nonlinear time series models generate US business cycle asymmetric shape?
• A nonlinear long memory model, with an application to US unemployment.
• Identification of business cycles and the Great Moderation in the post-war U.S. economy
• Nonlinear Taylor rules: evidence from a large dataset
• Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Robust inference in nonlinear models with mixed identification strength
• How can we Define the Concept of Long Memory? An Econometric Survey
• Semiparametric transition models
• Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
• Panel smooth transition model with covariate-dependent thresholds and its application to the nexus between investment and cash flow
• Mechanical-statistical modeling in ecology: from outbreak detections to pest dynamics

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