A unified approach to nonlinearity, structural change, and outliers
From MaRDI portal
Publication:278493
DOI10.1016/j.jeconom.2006.03.013zbMath1360.62456MaRDI QIDQ278493
Dick van Dijk, Robert Kohn, Paolo E. Giordani
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://repub.eur.nl/pub/1910
state-space models; threshold models; Bayesian inference; Markov-switching models; business cycle asymmetry
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
62M02: Markov processes: hypothesis testing
Related Items
A Bayesian multiple structural change regression model with autocorrelated errors, Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models, Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy, Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach, A unified approach to nonlinearity, structural change, and outliers, The information content of capacity utilization for detrending total factor productivity, Weak VARMA representations of regime-switching state-space models, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, Exact filtering in conditionally Markov switching hidden linear models, A flexible approach to parametric inference in nonlinear and time varying time series models, Inference and prediction in a multiple-structural-break model, Efficient MCMC sampling in dynamic mixture models, A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity, Maximizing equity market sector predictability in a Bayesian time-varying parameter model, Estimation and inference for exponential smooth transition nonlinear volatility models, What is the globalisation of inflation?, The marginal likelihood of dynamic mixture models, Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity, Approximate posterior distributions for convolutional two-level hidden Markov models, Detection of outliers in mixed regressive-spatial autoregressive models, Multi-regime nonlinear capital asset pricing models, Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Exact Smoothing in Hidden Conditionally Markov Switching Linear Models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A unified approach to nonlinearity, structural change, and outliers
- A comparison of two business cycle dating methods
- Bayes factors and nonlinearity: Evidence from economic time series
- Can nonlinear time series models generate US business cycle asymmetric shape?
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- On Gibbs sampling for state space models
- Robust estimation of bilinear time series models
- A simple and efficient simulation smoother for state space time series analysis
- Efficient Bayesian Inference for Dynamic Mixture Models
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Diagnostics for Time Series Analysis
- Chapter 3 The Importance of Nonlinearity in Reproducing Business Cycle Features
- Chapter 10 Random Walk Smooth Transition Autoregressive Models
- Outlier Detection And Estimation In NonLinear Time Series
- Contemporary Bayesian Econometrics and Statistics