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Robust Multiple Regimes in Growth Volatility


  • Andros Kourtellos

    () (Department of Economics, University of Cyprus, Cyprus)

  • Ioanna Stylianou

    () (Department of Economics, University of Cyprus, Cyprus)

  • Chih Ming Tan

    () (Department of Economics, University of North Dakota, USA)


In this paper we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian Model Averaging and Threshold Regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of Ethnic Fractionalization, Institutions, Financial Development, Health, and Geography.

Suggested Citation

  • Andros Kourtellos & Ioanna Stylianou & Chih Ming Tan, 2014. "Robust Multiple Regimes in Growth Volatility," Working Paper series 09_14, Rimini Centre for Economic Analysis.
  • Handle: RePEc:rim:rimwps:09_14

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    References listed on IDEAS

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    Cited by:

    1. Andros Kourtellos & Ioanna Stylianou & Chih Tan, 2015. "Robust multiple regimes in growth volatility," Empirical Economics, Springer, vol. 48(1), pages 461-491, February.

    More about this item


    growth volatility; multiple regimes; threshold regression;

    JEL classification:

    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • Z12 - Other Special Topics - - Cultural Economics - - - Religion

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