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Testing for Volatility Changes in U.S. Macroeconomic Time Series
11 references·16 citing·39 second hop
Testing for Volatility Changes in U.S. Macroeconomic Time Series (2004)Testing for Volatility Changes in U.S. Ma…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…The Long and Large Decline in U.S. Output Volatility (2001)The Long and Large Decline in…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series (1999)A Comparison of Linear and No…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …Approximate Asymptotic P Values for StructuraS-Change Tests (1997)Approximate Asymptotic P Valu…Approximate Asymptotic P Values for Structural-Change Tests (1997)Approximate Asymptotic P Valu…Evidence on Structural Instability in Macroeconomic Time Series Relations (1994)Evidence on Structural Instab…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach (2019)Cross-asset contagion in the …Revisiting useful approaches to data-rich macroeconomic forecasting (2016)Revisiting useful approaches …Stock market volatility: Identifying major drivers and the nature of their impact (2015)Stock market volatility: Iden…Should Macroeconomic Forecasters Use Daily Financial Data and How? 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this work references cited by second hop

References

  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2001The Long and Large Decline in U.S. Output Volatility995 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited
  • 1997Approximate Asymptotic P Values for StructuraS-Change Tests520 cited
  • 1999A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series446 cited
  • 1997Approximate Asymptotic P Values for Structural-Change Tests374 cited

Cited by

  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?331 cited
  • 2009OIL PRICE SHOCKS, SYSTEMATIC MONETARY POLICY, AND THE “GREAT MODERATION”256 cited
  • 2012Real-Time Inflation Forecasting in a Changing World195 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2007BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY145 cited
  • 2005Estimating restricted structural change models141 cited
  • 2015Stock market volatility: Identifying major drivers and the nature of their impact118 cited
  • 2010Break in the Mean and Persistence of Inflation: A Sectoral Analysis of French CPI117 cited
  • 2010Testing for co-integration in vector autoregressions with non-stationary volatility115 cited
  • 2009The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate111 cited
  • 2005Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry92 cited
  • 2007Model uncertainty and endogenous volatility88 cited
  • 2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT79 cited
  • 2013Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination73 cited
  • 2005Testing for causality in variance in the presence of breaks68 cited
  • 2016Revisiting useful approaches to data-rich macroeconomic forecasting67 cited
  • 2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach63 cited