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Citations for "A unified approach to nonlinearity, structural change, and outliers"

by Giordani, Paolo & Kohn, Robert & van Dijk, Dick

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  1. Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Time Varying Dimension Models," CAMA Working Papers 2011-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. John M Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Papers tecipa-448, University of Toronto, Department of Economics.
  3. Koop, Gary & Potter, Simon, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Journal of Econometrics, Elsevier, vol. 159(1), pages 134-150, November.
  4. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  5. Shirinbakhsh, Shamsollah & Moghaddas Bayat, Maryam, 2011. "An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-124, March.
  6. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  7. Planas, C. & Roeger, W. & Rossi, A., 2013. "The information content of capacity utilization for detrending total factor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 577-590.
  8. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics.
  9. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
  10. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
  11. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  12. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  13. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
  14. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
  15. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
  16. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  17. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8 Bank for International Settlements.
  18. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  19. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
  20. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.