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Investigating Nonlinearity: A Note on the Implementation of Hamilton's Methodology

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Author Info
D. Bond
M. Harrison
E.J. O'Brien

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Abstract

In this paper we give an account of the new approach to nonlinear econometric modelling proposed by Hamilton (2001) and briefly describe some of the methods of nonlinear optimization that may be used in the Gauss computer program provided by Hamilton for the implementation of his methodology. The performance of this program is investigated using data relating to Hamilton's example concerning the US Phillips curve, two versions of the Gauss software and a range of alternative numerical optimization options and values for the important Gauss parameter _oprteps. Finally, the effects of changes in the sample data on the results produced by Hamilton's procedure are explored. The results presented suggest some clear conclusions, which will be of value to those contemplating working with Hamilton's new method.

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Paper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number 200312.

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Date of creation: 2003
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Handle: RePEc:tcd:tcduee:200312

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  1. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
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  2. Christian M. Dahl, . "An Investigation of Tests for Linearity and the Accuracy of Flexible Nonlinear Inference," Economics Working Papers 1999-8, School of Economics and Management, University of Aarhus. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pablo Gonzalez & Mauricio Tejada, 2006. "No linealidades en la regla de política monetaria del Banco Central de Chile: una evidencia empírica," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 21(1), pages 81-115, July. [Downloadable!]
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  2. D. Bond & M.J. Harrision & E.J. O, Brien, 2005. "Investigating Nonlinearity: A Note on the Estimation of Hamilton’s Random Field Regression Model," Trinity Economics Papers tep4, Trinity College Dublin, Department of Economics. [Downloadable!]
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  3. repec:tcd:wpaper:tep4 is not listed on IDEAS
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This page was last updated on 2009-11-19.

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