Nonlinear impacts of international business cycles on the U.K. -- a Bayesian smooth transition VAR approach

zbMATH Open1193.91088MaRDI QIDQ3574757FDOQ3574757

Authors: Deborah Gefang, Rodney W. Strachan 

Publication date: 2 July 2010

Full work available at URL: http://www.bepress.com/snde/vol14/iss1/art2

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic dynamics (91B55)

Cited In (6)

• Specification tests for time-varying parameter models with stochastic volatility
• Large Hybrid Time-Varying Parameter VARs
• Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
• Inference in Bayesian additive vector autoregressive tree models
• Macroeconomic effects of sectoral shocks in Germany, the U.K. and the U.S.: A VAR-GARCH-M approach
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

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