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Nonlinear Time Series Modeling: An Introduction
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Nonlinear Time Series Modeling: An Introduction (2000)Nonlinear Time Series Modeling: An Introd…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Why do regime-switching models forecast so badly? (1999)Why do regime-switching model…State-Space Models with Regime Switching (1999)State-Space Models with Regim…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …A floor and ceiling model of US output (1997)A floor and ceiling model of …Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…A nonlinear approach to US GNP (1995)A nonlinear approach to US GNPBusiness-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Nonlinear Dynamic Structures (1993)Nonlinear Dynamic StructuresDo recessions permanently change output? (1993)Do recessions permanently cha…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Testing the adequacy of smooth transition autoregressive models (1996)Testing for the Constancy of Parameters Over Time (1989)Autoregressive conditional heteroskedasticity and changes in regime (1994)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Evolving Post-World War II U.S. Inflation Dynamics (2001)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1995A nonlinear approach to US GNP562 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1993Do recessions permanently change output?478 cited
  • 1993Nonlinear Dynamic Structures437 cited
  • 1997A floor and ceiling model of US output

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225 cited
  • 1999Why do regime-switching models forecast so badly?216 cited
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