Multivariate star analysis of money-output relationship

MaRDI QIDQ2783444zbMATH OpenFDO

Authors Philip Rothman, Dick van Dijk, Philip Hans Franses

Publication date 2 July 2002

Published in Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

Akaike information criterionmultivariate nonlinear time-series modelnonlinear Granger causalityprediction

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)

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(11)

• A consistent test for nonlinear out of sample predictive accuracy.
• Functional monetary aggregates, monetary policy, and business cycles
• Do monetary policy shocks generate TAR or STAR dynamics in output?
• Testing for co-nonlinearity
• Testing for co-integration and nonlinear adjustment in a smooth transition error correction model
• Inside Money, Output, and Causality
• Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
• Money-income Granger-causality in quantiles
• Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
• Multivariate contemporaneous-threshold autoregressive models
• Markov-switching stochastic trends and economic fluctuations

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