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Nonlinear VAR: Some Theory and an Application to the US GNP and Unemployment

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Author Info

  • Altissimo, F.
  • Violante, G.L.

Abstract

A generalization of the endogenous threshold model is developed by extending this class to multivariate framework and to cases where the feedback acts at multiple lags. The feedback is specified, following Beaudry and Koop, by a variable which measures the depth of recessions. We give conditions for the ergodicity of the model and prove strong consistency of the maximum likelihood estimator, although the objective function is discontinuous in the threshold parameter. The model is applied to a bivariate VAR of output growth and changes in the unemployment rate for the US economy.

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Bibliographic Info

Paper provided by Banca Italia - Servizio di Studi in its series Papers with number 338.

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Length: 55 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:banita:338

Contact details of provider:
Postal: Banca d'Italia-Servizio Studi-Divisione Biblioteca e Pubblicazioni - Via N azionale, 91 -00184 Rome, Italy.
Web page: http://www.bancaditalia.it/
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Keywords: MATHEMATICAL ANALYSIS ; STOCHASTIC MODELS ; UNITED STATES ; UNEMPLOYMENT ; PRODUCTION ; ECONOMETRIC MODELS ; ESTIMATION OF PARAMETERS;

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Cited by:
  1. Altissimo, Filippo & Violante, Giovanni L, 2000. "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers 2475, C.E.P.R. Discussion Papers.
  2. Sella Lisa, 2008. "Old and New Spectral Techniques for Economic Time Series," Department of Economics and Statistics Cognetti de Martiis. Working Papers 200809, University of Turin.

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