Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
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References listed on IDEAS
- Balke, Nathan S & Fomby, Thomas B, 1994.
"Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arora Siddharth & Little Max A. & McSharry Patrick E., 2013. "Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 395-420, September.
More about this item
KeywordsStructural breaks; State space model; Nonlinearity;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-23 (All new papers)
- NEP-ETS-2005-05-23 (Econometric Time Series)
- NEP-MAC-2005-05-23 (Macroeconomics)
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