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Nonlinear Modelling Using the Generalized Exponential Family of Distributions

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  • Creedy, John
  • Martin, Vance L

Abstract

This paper introduces an approach to nonlinear modelling which is based on the use of the generalized exponential family of distributions. The flexibility of the approach is illustrated using hypothetical data based on an economic model which exhibits multiple equilibria for certain periods of time and a unique equilibrium for other periods. The distributional analogue of multiple equilibria is multimodality. An advantage of this framework is that discrete jumps can be modelled without the need for identifying the timing of jumps ex post. The framework also has the advantage of explaining how smooth changes in market fundamentals can give rise to large and sudden changes in prices. The introduction of economic assumptions into nonlinear models is explained, and it is shown how an explicit form for the distribution of the dependent variable can be derived. It is suggested that the approach has considerable potential in a wide variety of economic contexts. Copyright 1998 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Suggested Citation

  • Creedy, John & Martin, Vance L, 1998. "Nonlinear Modelling Using the Generalized Exponential Family of Distributions," Bulletin of Economic Research, Wiley Blackwell, vol. 50(3), pages 229-255, July.
    • Handle: RePEc:bla:buecrs:v:50:y:1998:i:3:p:229-55
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    Cited by:

    1. Alexander Bakker & John Creedy, 1998. "Estimating the exponential family using grouped data: An application to the New Zealand income distribution," New Zealand Economic Papers, Taylor & Francis Journals, vol. 32(1), pages 19-39.

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