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Robust Multiple Regimes in Growth Volatility

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  • Andros Kourtellos

    ()
    (Department of Economics, University of Cyprus, Cyprus)

  • Ioanna Stylianou

    ()
    (Department of Economics, University of Cyprus, Cyprus)

  • Chih Ming Tan

    ()
    (Department of Economics, University of North Dakota, USA)

Abstract

In this paper we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian Model Averaging and Threshold Regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of Ethnic Fractionalization, Institutions, Financial Development, Health, and Geography.

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Bibliographic Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 09_14.

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Date of creation: Mar 2014
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Handle: RePEc:rim:rimwps:09_14

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Keywords: growth volatility; multiple regimes; threshold regression;

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