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Citations for "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications"

by Chang-Jin Kim & Charles R. Nelson

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  1. Guérin, Pierre & Leiva-Leon, Danilo, 2014. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," MPRA Paper 59361, University Library of Munich, Germany.
  2. Mandler, Martin, 2007. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MPRA Paper 13498, University Library of Munich, Germany, revised Jan 2009.
  3. Sinchan Mitra & Tara M. Sinclair, . "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia.
  4. Hilde C. Bjørnland & Leif Anders Thorsrud, 2014. "Boom or gloom? Examining the Dutch disease in two-speed economies," Working Papers 0024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  5. Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
  6. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org.
  7. Davide Debortoli & Aeimit Lakdawala, 2016. "How Credible Is the Federal Reserve? A Structural Estimation of Policy Re-optimizations," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 42-76, July.
  8. Harm Bandholz, 2005. "New Composite Leading Indicators for Hungary and Poland," Ifo Working Paper Series Ifo Working Paper No. 3, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  9. Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007. "A unified approach to nonlinearity, structural change, and outliers," Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
  10. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  11. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
  12. Felipe Morandé & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers Central Bank of Chile 492, Central Bank of Chile.
  13. Vitor Castro, 2015. "The Portuguese business cycle: chronology and duration dependence," Empirical Economics, Springer, vol. 49(1), pages 325-342, August.
  14. Arabinda Basistha & Richard Startz, 2005. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Computing in Economics and Finance 2005 46, Society for Computational Economics.
  15. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  16. Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
  17. Mirela Sorina Miescu, 2016. "IMF Programs and Sensitivity to External Shocks: An Empirical Application," Working Papers 791, Queen Mary University of London, School of Economics and Finance.
  18. Stephen Elias & Craig Evans, 2014. "Cycles in Non-mining Business Investment," RBA Bulletin, Reserve Bank of Australia, pages 01-06, December.
  19. Hilde C. Bjørnland & Leif Anders Thorsrud, 2013. "Boom or gloom? Examining the Dutch disease in a two-speed economy," CAMA Working Papers 2013-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  20. Jean-Pierre Allegret & Alain Sand-Zantman, 2006. "Disentabling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches," Post-Print halshs-00262366, HAL.
  21. Saxena, Sweta Chaman, 2002. "Exchange rate dynamics in Indonesia: 1980-1998," Journal of Asian Economics, Elsevier, vol. 13(4), pages 545-563.
  22. Felipe Morandé L. & Mauricio Tejada G., 2008. "Sources of Uncertainty in Monetary Policy Conduct in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(3), pages 45-80, December.
  23. Michael T. Owyang, 2002. "Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR," Working Papers 2002-018, Federal Reserve Bank of St. Louis.
  24. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford.
  25. Konstantin A., KHOLODILIN & Wension Vincent, YAO, 2004. "Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  26. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  27. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
  28. Smith, Aaron D. & Naik, Prasad A. & Tsai, Chih-Ling, 2005. "Markov-Switching Model Selection Using Kullback-Leibler Divergence," Working Papers 11976, University of California, Davis, Department of Agricultural and Resource Economics.
  29. Kim, Iljoong & Kim, Inbae, 2006. "A revisit to the puzzling movement of the US dollar in the 1980s: Causality and expectation regimes associated with the interest rate," Journal of Policy Modeling, Elsevier, vol. 28(3), pages 347-356, April.
  30. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  31. Takero Doi & Takeo Hoshi & Tatsuyoshi Okimoto, 2011. "Japanese Government Debt and Sustainability of Fiscal Policy," NBER Working Papers 17305, National Bureau of Economic Research, Inc.
  32. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Discussion Papers in Economics at the University of Washington 0041, Department of Economics at the University of Washington.
  33. David Jamieson Bolder, 2006. "Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective," Staff Working Papers 06-48, Bank of Canada.
  34. Bianchi, Francesco, 2008. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," MPRA Paper 20831, University Library of Munich, Germany, revised 01 Jan 2010.
  35. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
  36. L. Clavel & C. Minodier, 2009. "A Monthly Indicator of the French Business Climate," Documents de Travail de la DESE - Working Papers of the DESE g2009-02, Institut National de la Statistique et des Etudes Economiques, DESE.
  37. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 691-705.
  38. Fonseca, Marcelo Gonçalves da Silva & Pereira, Pedro L. Valls, 2014. "Credit shocks and monetary policy in Brazil: a structural FAVAR approach," Textos para discussão 358, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  39. Baumeister, Christiane & Kilian, Lutz & Zhou, Xiaoqing, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," CEPR Discussion Papers 9572, C.E.P.R. Discussion Papers.
  40. Kerekes, Monika, 2009. "Growth miracles and failures in a Markov switching classification model of growth," Discussion Papers 2009/11, Free University Berlin, School of Business & Economics.
  41. Pasricha, Gurnain Kaur, 2006. "Kalman Filter and its Economic Applications," MPRA Paper 22734, University Library of Munich, Germany.
  42. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
  43. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
  44. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers 0032, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  45. Managi, Shunsuke & Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," MPRA Paper 46067, University Library of Munich, Germany.
  46. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.
  47. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
  48. Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
  49. Mumtaz, Haroon & Simonelli, Saverio & Surico, Paolo, 2009. "International comovements, business cycle and inflation: a historical perspective," Discussion Papers 28, Monetary Policy Committee Unit, Bank of England.
  50. Shinya Tanaka & Eiji Kurozumi, 2010. "Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small," Global COE Hi-Stat Discussion Paper Series gd10-156, Institute of Economic Research, Hitotsubashi University.
  51. Mumtaz, Haroon & Surico, Paolo, 2008. "Time-Varying Yield Curve Dynamics and Monetary Policy," Discussion Papers 23, Monetary Policy Committee Unit, Bank of England.
  52. Fabio H. Nieto, 2003. "Identifiability Of Acoincident Index Model For The Colombian Economy," BORRADORES DE ECONOMIA 002799, BANCO DE LA REPÚBLICA.
  53. Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013. "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, vol. 37(C), pages 40-51.
  54. Christiane Baumeister & Lutz Kilian, 2015. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 338-351, July.
  55. 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.
  56. Bruno, Giancarlo & Otranto, Edoardo, 2008. "Models to date the business cycle: The Italian case," Economic Modelling, Elsevier, vol. 25(5), pages 899-911, September.
  57. Manshu Yang & Sy-Miin Chow, 2010. "Using State-Space Model with Regime Switching to Represent the Dynamics of Facial Electromyography (EMG) Data," Psychometrika, Springer;The Psychometric Society, vol. 75(4), pages 744-771, December.
  58. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
  59. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
  60. George Monokroussos, 2011. "Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 519-534, 03.
  61. Morita, Hiroshi, 2015. "State-dependent effects of fiscal policy in Japan: Do rule-of-thumb households increase the effects of fiscal policy?," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 49-61.
  62. Leiva-Leon, Danilo, 2013. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," MPRA Paper 54452, University Library of Munich, Germany.
  63. D'Agostino, Antonello & Giannone, Domenico & Lenza, Michele & Modugno, Michele, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
  64. Christian A Johnson, 2013. "Potential Output and Output Gap in Central America, Panama and Dominican Republic," IMF Working Papers 13/145, International Monetary Fund.
  65. G. Everaert & L. Pozzi, 2014. "The dynamics of European financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/877, Ghent University, Faculty of Economics and Business Administration.
  66. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.
  67. Lorenzo Pozzi & Guido Wolswijk, 2008. "Have Euro Area Government Bond Risk Premia Converged To Their Common State?," Tinbergen Institute Discussion Papers 08-042/2, Tinbergen Institute, revised 07 Sep 2009.
  68. Katrin Wesche, 2003. "Monetary Policy in Europe: Evidence from Time-Varying Taylor Rules," Bonn Econ Discussion Papers bgse21_2003, University of Bonn, Germany.
  69. Mehmet Balcilar & Riza Demirer & Talat Ulussever, 2016. "Does speculation in the oil market drive investor herding in net exporting nations?," Working Papers 15-29, Eastern Mediterranean University, Department of Economics.
  70. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
  71. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA.
  72. Howard J. Wall, 2006. "Regional business cycle phases in Japan," Working Papers 2006-053, Federal Reserve Bank of St. Louis.
  73. Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014. "Are there gains from pooling real-time oil price forecasts?," Energy Economics, Elsevier, vol. 46(S1), pages S33-S43.
  74. Peter M. Summers & Penelope A. Smith, 2005. "How well do Markov switching models describe actual business cycles? The case of synchronization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 253-274.
  75. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  76. Stéphane Goutte, 2012. "Conditional Markov regime switching model applied to economic modelling," Working Papers hal-00747479, HAL.
  77. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
  78. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
  79. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beverridge Nelson Decomposition With Markov Switching," CAMA Working Papers 2006-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  80. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
  81. Francesco Belviso & Fabio Milani, 2005. "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics 0503023, EconWPA.
  82. Stefano D'Addona & Christos Giannikos, 2011. "Asset Pricing And The Role Of Macroeconomic Volatility," Working Papers 0711, CREI Università degli Studi Roma Tre, revised 2011.
  83. M Cruz, 2003. "The Business Cycle in a Financially Deregulated Context: Theory and Evidence," The School of Economics Discussion Paper Series 0331, Economics, The University of Manchester.
  84. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
  85. Beine, Michel & Grauwe, Paul De & Grimaldi, Marianna, 2009. "The impact of FX central bank intervention in a noise trading framework," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1187-1195, July.
  86. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
  87. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
  88. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  89. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2015. "Markov-switching mixed-frequency VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 692-711.
  90. George Monokroussos, 2006. "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006 390, Society for Computational Economics.
  91. Roberta Moreira Wichmann & Marcelo Savino Portugal, 2014. "Política Fiscal Assimétrica: O Caso Do Brasil," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 038, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  92. Owyang, Michael T. & Piger, Jeremy M. & Wall, Howard J. & Wheeler, Christopher H., 2008. "The economic performance of cities: A Markov-switching approach," Journal of Urban Economics, Elsevier, vol. 64(3), pages 538-550, November.
  93. Ricardo Caballero & Stavros Panageas, 2005. "A Quantitative Model of Sudden Stops and External Liquidity Management," NBER Working Papers 11293, National Bureau of Economic Research, Inc.
  94. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-13.
  95. Pozzi, Lorenzo, 2010. "Idiosyncratic labour income risk and aggregate consumption: An unobserved component approach," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 169-184, March.
  96. Canova, Fabio & Pérez Forero, Fernando J., 2014. "Estimating overidentified, non-recursive, time varying coefficients structural VARs," CEPR Discussion Papers 10022, C.E.P.R. Discussion Papers.
  97. Paap, Richard & van Dijk, Herman K, 2003. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-63, October.
  98. S. Standaert, 2013. "Divining the Level of Corruption. A Bayesian State-Space Approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/835, Ghent University, Faculty of Economics and Business Administration.
  99. 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.
  100. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  101. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
  102. repec:cuf:journl:y:2014:v:15:i:2:abiad is not listed on IDEAS
  103. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  104. Raggi, Davide & Bordignon, Silvano, 2012. "Long memory and nonlinearities in realized volatility: A Markov switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3730-3742.
  105. Mário Jorge Mendonça & Cláudio H. dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Discussion Papers 1337, Instituto de Pesquisa Econômica Aplicada - IPEA.
  106. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2010. "Discordant city employment cycles," Working Papers 2010-019, Federal Reserve Bank of St. Louis.
  107. Sylvia Frühwirth-Schnatter, 2001. "Fully Bayesian Analysis of Switching Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 31-49, March.
  108. Etsuro Shioji, 2015. "Time varying pass-through: Will the yen depreciation help Japan hit the inflation target?," UTokyo Price Project Working Paper Series 050, University of Tokyo, Graduate School of Economics.
  109. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
  110. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
  111. Fushing Hsieh & Emilio Ferrer & Shu-Chun Chen & Sy-Miin Chow, 2010. "Exploring the Dynamics of Dyadic Interactions via Hierarchical Segmentation," Psychometrika, Springer;The Psychometric Society, vol. 75(2), pages 351-372, June.
  112. repec:fgv:epgrbe:v:67:n:3:a:6 is not listed on IDEAS
  113. Oliver Linton & Myunghwan Seo, 2005. "A smoothed least squares estimator for threshold regression models," LSE Research Online Documents on Economics 4434, London School of Economics and Political Science, LSE Library.
  114. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  115. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  116. Ko, Jun-Hyung & Morita, Hiroshi, 2015. "Fiscal sustainability and regime shifts in Japan," Economic Modelling, Elsevier, vol. 46(C), pages 364-375.
  117. Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012. "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 346-356.
  118. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
  119. Frank Schorfheide, 2005. "Learning and Monetary Policy Shifts," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 392-419, April.
  120. Emmanuel De Veirman, 2009. "What Makes the Output-Inflation Trade-Off Change? The Absence of Accelerating Deflation in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1117-1140, 09.
  121. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  122. Lars Svensson & Noah Williams, 2005. "Monetary Policy with Model Uncertainty: Distribution Forecast Targeting," NBER Working Papers 11733, National Bureau of Economic Research, Inc.
  123. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61.
  124. Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
  125. Daniel F. Waggoner & Tao Zha, 2012. "Confronting Model Misspecification in Macroeconomics," NBER Working Papers 17791, National Bureau of Economic Research, Inc.
  126. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  127. Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
  128. Yu-chin Chen & Kwok Ping Tsang, 2010. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers e07-19, Virginia Polytechnic Institute and State University, Department of Economics.
  129. M. Frömmel, 2007. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/487, Ghent University, Faculty of Economics and Business Administration.
  130. Michael Rockinger & Eric Jondeau, 2002. "Asset Allocation in Transition Economies," Working Papers hal-00597773, HAL.
  131. Blagov, Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility : A fresh look at Hong Kong s linked exchange rate system," BOFIT Discussion Papers 24/2013, Bank of Finland, Institute for Economies in Transition.
  132. Christiane Baumeister & Gert Peersman, 2011. "The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market," Staff Working Papers 11-28, Bank of Canada.
  133. Bhar, Ramaprasad & Hammoudeh, Shawkat, 2011. "Commodities and financial variables: Analyzing relationships in a changing regime environment," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 469-484, October.
  134. repec:hhs:bofitp:2013_024 is not listed on IDEAS
  135. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2002. "Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence," CESifo Working Paper Series 817, CESifo Group Munich.
  136. Uchiyama, Hirokuni, 2006. "The index of agency cost and the financial accelerator: the case of Japan," Japan and the World Economy, Elsevier, vol. 18(1), pages 22-48, January.
  137. Levant, Jared & Ma, Jun, 2016. "Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 117-127.
  138. Leiva-Leon Danilo, 2014. "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 24, December.
  139. James M. Nason & Ellis W. Tallman, 2012. "Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks," CAMA Working Papers 2012-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  140. Mario Jorge Cardoso de Mendonça & Thiago Guerrera Martins & Cláudio Hamilton dos Santos, 2011. "Um ModeloEconométrico com Parâmetros Variáveispara Carga Tributária Bruta Brasileira," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 37, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  141. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
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