Large shocks vs. small shocks. (Or does size matter? May be so.)

DOI10.1016/J.JECONOM.2005.07.022MaRDI QIDQ291855zbMATH OpenOpenAlexFDO

Authors Jesús Gonzalo, Oscar Martínez

Publication date 10 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/3229

zbMATH Keywords

asymmetriesnonlinear permanent-transitory decompositionpersistenceshocksthreshold models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Econometric analysis of structural systems with permanent and transitory shocks
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Identifying noise shocks
• Absorption of shocks in nonlinear autoregressive models
• Simulation-based estimation of threshold moving average models with contemporaneous shock asymmetry and an application to Turkish business cycles

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A threshold AR(1) model
• Are output fluctuations transitory?
• Asymptotics for linear processes
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Estimation and model selection based inference in single and multiple threshold models.
• scientific article; zbMATH DE number 3990600 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Impulse response analysis in nonlinear multivariate models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Nonlinear impulse response functions
• Nonparametric model checks for time series
• On threshold moving-average models
• Signal extraction error in nonstationary time series
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Threshold Autoregression with a Unit Root
• Weak convergence of the sequential empirical processes of residuals in ARMA models

Cited in

(6)

• Asymmetric vector moving average models: estimation and testing
• Econometric analysis of structural systems with permanent and transitory shocks
• The split-BREAK model
• Simulation-based estimation of threshold moving average models with contemporaneous shock asymmetry and an application to Turkish business cycles
• A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.
• Modeling structural breaks in economic relationships using large shocks

Describes a project that uses

Uses Software

• boot

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