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A multi-level panel smooth transition autoregression for US sectoral production

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  • Fok, D.
  • van Dijk, D.J.C.
  • Franses, Ph.H.B.F.

Abstract

We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine the presence of common non-linear features across many such variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully heterogeneous model, which might render estimation problems for some of the panel members. To keep the model tractable, we introduce a second-stage model, which links the parameters in the transition functions with observable explanatory variables. We discuss representation, estimation by concentrated simulated maximum likelihood and inference. We illustrate our model for data on industrial production of 18 US manufacturing sectors, and document that there are subtle differences across sectors in leads and lags for business cycle recessions and expansions.

Suggested Citation

  • Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "A multi-level panel smooth transition autoregression for US sectoral production," Econometric Institute Research Papers EI 2003-43, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1054
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    Cited by:

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    2. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics.
    3. Xiaoping He & Xin Yao, 2017. "Foreign Direct Investments and the Environmental Kuznets Curve: New Evidence from Chinese Provinces," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(1), pages 12-25, January.

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    More about this item

    Keywords

    business cycle; non-linearity; panel of time series;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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