Lo, Ming Chien (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev.
Probabilities”, in Non-stationary Time Series Analysis and Cointegration, C.
Hargreaves (ed.), Oxford University Press, Oxford, U.K …
; LL
J
j
j
iji g229
g61
g215g61
1
,
)( g103g103 (5)
where
t
y is the log level of output,
t
x is a scalar variable … measuring monetary policy, and
t
S is
a regime-indicator variable taking on the values 0 or 1.
Ignoring
t
x in equation (4 …