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The ACR Model: A Multivariate Dynamic Mixture Autoregression

Citations

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Cited by:

  1. Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2019. "State‐Dependent Transmission of Monetary Policy in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 2053-2070, October.
  2. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
  3. F Blasques & P Gorgi & S J Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models ," Working Papers hal-01377971, HAL.
  4. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
  5. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
  6. Frédéric BEC & Alain GUAY, 2020. "A simple unit root test consistent against any stationary alternative," Working Papers 2020-28, Center for Research in Economics and Statistics.
  7. Leena Kalliovirta & Mika Meitz & Pentti Saikkonen, 2015. "A Gaussian Mixture Autoregressive Model for Univariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 247-266, March.
  8. Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
  9. Luca Di Persio & Samuele Vettori, 2014. "Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX," Journal of Mathematics, Hindawi, vol. 2014, pages 1-17, December.
  10. Koop, Gary & Potter, Simon, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Journal of Econometrics, Elsevier, vol. 159(1), pages 134-150, November.
  11. Adusei Jumah & Robert M. Kunst, 2016. "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4366-4378, September.
  12. Meitz, Mika & Saikkonen, Pentti, 2022. "Subgeometrically Ergodic Autoregressions," Econometric Theory, Cambridge University Press, vol. 38(5), pages 959-985, October.
  13. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  14. Søren Johansen & Theis Lange, 2011. "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers 2011-17, Department of Economics and Business Economics, Aarhus University.
  15. Frédérique BEC & Othman BOUABDALLAH & Laurent FERRARA, 2011. "The Possible Shapes of Recoveries in Markov-Switching Models," Working Papers 2011-02, Center for Research in Economics and Statistics.
  16. Meitz, Mika & Saikkonen, Pentti, 2021. "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, vol. 222(1), pages 601-624.
  17. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
  18. Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  19. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
  20. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
  21. Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
  22. Zacharias Psaradakis & Martin Sola & Francisco Rapetti & Patricio Yunis, 2024. "The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects," Department of Economics Working Papers 2024_02, Universidad Torcuato Di Tella.
  23. Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
  24. Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
  25. Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
  26. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
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