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Estimation and inference in threshold type regime switching models

  • Pitarakis, Jean-Yves
  • Gonzalo, Jesús

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.

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Paper provided by Universidad Carlos III de Madrid. Departamento de Economía in its series UC3M Working papers. Economics with number we1204.

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Date of creation: Jan 2012
Date of revision:
Handle: RePEc:cte:werepe:we1204
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  28. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
  29. Enders, Walter & Siklos, Pierre L, 2001. "Cointegration and Threshold Adjustment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-76, April.
  30. Myung Hwan Seo, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
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  33. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
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  35. Nikolay Gospodinov, 2005. "Testing For Threshold Nonlinearity in Short-Term Interest Rates," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 344-371.
  36. Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
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  38. Prados de la Escosura, Leandro, 2007. "Inequality, poverty, and the Kuznets curve In Spain, 1850-2000," IFCS - Working Papers in Economic History.WH wp07-13, Universidad Carlos III de Madrid. Instituto Figuerola.
  39. Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
  40. Lo, Ming Chien & Zivot, Eric, 2001. "Threshold Cointegration And Nonlinear Adjustment To The Law Of One Price," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 533-576, September.
  41. Broadberry, Stephen; Campbell, Bruce; Klein, Alexander; Overton, Mark; Van Leeuwen, Bas., 2010. "English Economic Growth: 1270 - 1870," CAGE Online Working Paper Series 35, Competitive Advantage in the Global Economy (CAGE).
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