Chapter 4 The Vector Floor and Ceiling Model

DOI10.1016/S0573-8555(05)76004-1zbMATH Open1301.91028OpenAlexW1519114382MaRDI QIDQ5294103FDOQ5294103

Authors: Gary Koop, Simon Potter 

Publication date: 23 July 2007

Published in: Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0573-8555(05)76004-1

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• Noncausal vector autoregression
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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Cited In (5)

• Absorption of shocks in nonlinear autoregressive models
• Peaks, gaps, and time‐reversibility of economic time series
• Multivariate contemporaneous-threshold autoregressive models
• A flexible approach to parametric inference in nonlinear and time varying time series models
• Nonparametric vector autoregressions: specification, estimation, and inference

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