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Citations for "A unified approach to nonlinearity, structural change, and outliers"

by Giordani, Paolo & Kohn, Robert & van Dijk, Dick

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  1. Planas, C. & Roeger, W. & Rossi, A., 2013. "The information content of capacity utilization for detrending total factor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 577-590.
  2. Pierre Perron & Tatsuma Wada, 2015. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series wp2015-016, Boston University - Department of Economics.
  3. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009. "Real-time inflation forecasting in a changing world," Staff Reports 388, Federal Reserve Bank of New York.
  4. Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2010. "Time Varying Dimension Models," Working Paper Series 44_10, The Rimini Centre for Economic Analysis.
  5. Shirinbakhsh, Shamsollah & Moghaddas Bayat, Maryam, 2011. "An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-124, March.
  6. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  7. Markus Jochmann, 2015. "Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 537-558, May.
  8. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
  9. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
  10. Tommaso Proietti & Alessandra Luati, 2013. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 15, pages 334-362 Edward Elgar Publishing.
  11. Fiorentini, G. & Planas, C. & Rossi, A., 2012. "The marginal likelihood of dynamic mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2650-2662.
  12. Kim, Jaeho, 2015. "Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market," MPRA Paper 67153, University Library of Munich, Germany.
  13. Rimstad, Kjartan & Omre, Henning, 2013. "Approximate posterior distributions for convolutional two-level hidden Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 187-200.
  14. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  15. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute.
  16. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
  17. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany.
  18. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
  19. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
  20. Gary Koop & Simon Potter, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Post-Print hal-00732535, HAL.
  21. Bertrand Candelon & Norbert Metiu & Stefan Straetmans, 2014. "Disentangling economic recessions and depressions," Working Papers 2014-328, Department of Research, Ipag Business School.
  22. Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George & Osborn, Denise R., 2017. "What is the globalisation of inflation?," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 1-27.
  23. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  24. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  25. Gantungalag Altansukha & Ralf Becker & George Bratsiotis & Denise R. Osborn, 2016. "What is the Globalisation of Inflation? ," Centre for Growth and Business Cycle Research Discussion Paper Series 224, Economics, The Univeristy of Manchester.
  26. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  27. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8 Bank for International Settlements.
  28. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  29. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-44, Boston University - Department of Economics.
  30. Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011. "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-28, May.
  31. repec:hal:journl:peer-00732535 is not listed on IDEAS
  32. Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute.
  33. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  34. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
  35. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
  36. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
  37. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  38. Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey, 2009. "Macro modelling with many models," Working Paper 2009/15, Norges Bank.
  39. Maddalena Cavicchioli, 2016. "Weak VARMA representations of regime-switching state-space models," Statistical Papers, Springer, vol. 57(3), pages 705-720, September.
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