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Estimation and inference in threshold type regime switching models

In: Handbook of Research Methods and Applications in Empirical Macroeconomics

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  • Jesús Gonzalo
  • Jean-Yves Pitarakis

Abstract

This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading.

Suggested Citation

  • Jesús Gonzalo & Jean-Yves Pitarakis, 2013. "Estimation and inference in threshold type regime switching models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205 Edward Elgar Publishing.
  • Handle: RePEc:elg:eechap:14327_8
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    References listed on IDEAS

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    Cited by:

    1. Slimani, Slah & Bakari, Sayef & Othmani, Abdelhafidh, 2015. "Croissance et Soutenabilité de la Dette Extérieure Tunisienne pour la Période 1970-2012 : Une Analyse Dynamique
      [Growth and Sustainability of Tunisian External Debt for the Period 1970-2012: A Dyna
      ," MPRA Paper 80954, University Library of Munich, Germany.
    2. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    3. Donayre Luiggi & Eo Yunjong & Morley James, 2018. "Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-11, February.

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    Economics and Finance; Research Methods;

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