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Modeling Multiple Regimes in the Business Cycle
16 references·16 citing·34 second hopsampled
Modeling Multiple Regimes in the Business Cycle (1999)Modeling Multiple Regimes in the Business…The NAIRU, Unemployment and Monetary Policy (1997)The NAIRU, Unemployment and M…Time Irreversibility and Business Cycle Asymmetry (1996)Time Irreversibility and Busi…Testing the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…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 …A nonlinear approach to US GNP (1995)A nonlinear approach to US GNPSome advances in non‐linear and adaptive modelling in time‐series (1994)Some advances in non‐linear a…Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …Inventories and the Three Phases of the Business Cycle (1994)Inventories and the Three Pha…Do recessions permanently change output? (1993)Do recessions permanently cha…BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)BUSINESS CYCLE ASYMMETRY: A D…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Measuring Business Cycles (1947)Measuring Business CyclesThe General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…Non-linear Time Series Analysis (2018)Non-linear Time Series Analys…The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability (2017)The Role of El Niño Southern …Testing and explaining economic resilience with an application to Italian regions (2017)Testing and explaining econom…Stock market liquidity and economic cycles: A non-linear approach (2016)Stock market liquidity and ec…Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7 (2012)Macroeconomic uncertainty, in…Entrepreneurship and unemployment: A nonlinear bidirectional causality? (2010)Entrepreneurship and unemploy…MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009)MODELING MULTIPLE REGIMES IN …The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going? (2008)The Undisclosed Renminbi Bask…The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach (2008)The Commodity Terms of Trade,…Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time‐Varying STAR Approach (2006)Nonlinear Dynamics and Struct…Nonlinearity and the permanent effects of recessions (2005)Nonlinearity and the permanen…How can we Define the Concept of Long Memory? An Econometric Survey (2005)How can we Define the Concept…Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity (2005)Evidence on purchasing power …Forecasting with a nonlinear dynamic model of stock returns and industrial production (2004)Forecasting with a nonlinear …Asymmetric Interest Rate Effects for the UK Real Economy* (2002)Asymmetric Interest Rate Effe…A nonlinear long memory model, with an application to US unemployment (2002)A nonlinear long memory model…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Sample Splitting and Threshold Estimation (2000)Spatial Market Integration in the Presence of Threshold Effects (2001)Analysis of Financial Time Series (2006)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)The Role of Monetary Policy (1995)Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)Does the “New Economy” Measure up to the Great Inventions of the Past? (2000)Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)American Economic Review (2019)The General Theory of Employment, Interest and Money. (1936)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)How Business Cycles Contribute to Private-Label Success: Evidence from the United States and Europe (2006)The General Theory of Employment (1937)Short-run equilibrium dynamics of unemployment vacancies, and real wages (1985)Rational-expectations econometric analysis of changes in regime (1988)Detrending and business cycle facts (1998)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Introduction: epistemic communities and international policy coordination (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Understanding business cycles (1977)Dissecting the cycle: a methodological investigation (2002)Can News About the Future Drive the Business Cycle? (2006)
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References

  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1947Measuring Business Cycles1,481 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1997The NAIRU, Unemployment and Monetary Policy666 cited
  • 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK580 cited
  • 1995A nonlinear approach to US GNP562 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 1993Do recessions permanently change output?478 cited
  • 1994Measuring Business Cycles: A Modern Perspective363 cited
  • 1994Some advances in non‐linear and adaptive modelling in time‐series361 cited
  • 1994Inventories and the Three Phases of the Business Cycle290 cited
  • 1996

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Time Irreversibility and Business Cycle Asymmetry
259 cited

Cited by

  • 2017Testing and explaining economic resilience with an application to Italian regions163 cited
  • 2005Nonlinearity and the permanent effects of recessions150 cited
  • 2002A nonlinear long memory model, with an application to US unemployment135 cited
  • 2008The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach123 cited
  • 2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
  • 2010Entrepreneurship and unemployment: A nonlinear bidirectional causality?95 cited
  • 2006Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time‐Varying STAR Approach79 cited
  • 2008The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?78 cited
  • 2017The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability78 cited
  • 2004Forecasting with a nonlinear dynamic model of stock returns and industrial production77 cited
  • 2002Asymmetric Interest Rate Effects for the UK Real Economy*69 cited
  • 2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL59 cited
  • 2016Stock market liquidity and economic cycles: A non-linear approach44 cited
  • 2018Non-linear Time Series Analysis44 cited
  • 2012Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G740 cited
  • 2005Evidence on purchasing power parity from univariate models: the case of smooth transition trend‐stationarity40 cited