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Threshold Models for Trended Time Series
Kapetanios, G. - Faculty of Economics, University of Cambridge - 1999
This paper presents the theoretical development of new threshold autoregressive models based on trended time series. The theoretical arguments underlying the models are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric models. Estimation and...
Persistent link: https://www.econbiz.de/10005113856
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Fiscal policy, trigger points and interest rates: Additional evidence from the U.S.
Reitschuler, Gerhard; Sendlhofer, Rupert - 2011
We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....
Persistent link: https://www.econbiz.de/10010294827
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Modeling and Predicting the EUR/USD Exchange Rate: The Role of Nonlinear Adjustments to Purchasing Power Parity
Cuaresma, Jesús Crespo; Orthofer, Anna - In: Monetary Policy & the Economy (2010) 2, pp. 64-76
alternative nonlinear formulations outperform them for forecasting purposes. We find that the theory of nonlinear adjustment to …
Persistent link: https://www.econbiz.de/10008527035
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Some million thresholds: Nonlinearity and cross-country growth regressions
Cuaresma, Jesus Crespo - Royal Economic Society - RES - 2003
nonlinearity in the specification of the data generating process. The nonlinearity is modelled as regime-dependent parameter … generalization of the procedure in Sala-i-Martin (American Economic Review, 1997), strong evidence of nonlinearity is found for …
Persistent link: https://www.econbiz.de/10005577116
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Model Selection in Threshold Models
Kapetanios, G. - Faculty of Economics, University of Cambridge - 1999
This paper considers information criteria as model evaluation tools for nonlinear threshold models. Results concerning the consistency of information criteria in selecting the lag order of linear autoregressive models are extended to nonlinear autoregressive threshold models. Extensive Monte...
Persistent link: https://www.econbiz.de/10005647350
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Fiscal policy, trigger points and interest rates: Additional evidence from the U.S.
Reitschuler, Gerhard; Sendlhofer, Rupert - Institut für Finanzwissenschaft, Fakultät für … - 2011
We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....
Persistent link: https://www.econbiz.de/10010617819
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Regime-dependent commodity price dynamics: A predictive analysis
Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021
We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...
Persistent link: https://www.econbiz.de/10012416126
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Regime-dependent commodity price dynamics : a predictive analysis
Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021
We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...
Persistent link: https://www.econbiz.de/10012415910
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On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland
Sznajderska, Anna - Narodowy Bank Polski - 2012
This paper empirically examines the potential asymmetries in the interest rate pass-through in Poland. We investigate the chosen retail interest rates in commercial banks on deposits and loans denominated in the Polish currency. It is considered whether their adjustment to changes in interbank...
Persistent link: https://www.econbiz.de/10010543159
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Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models
Ascari, G.; Marrocu, E. - Centro Ricerche Nord Sud (CRENoS) - 2003
The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the … the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium … and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. …
Persistent link: https://www.econbiz.de/10005037589