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Dynamics between the budget deficit and the government debt in the United States : a nonlinear analysis
Ahmed, Haydory Akbar - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 93-109
Persistent link: https://www.econbiz.de/10012594179
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Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
Chao, John C.; Chiao, Chaoshin - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...
Persistent link: https://www.econbiz.de/10014620803
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Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
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Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
Zhu, Yanli; Chen, Haiqiang; Lin, Ming - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10012198389
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Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
Chao, John; Chiao, Chaoshin - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 115-131
In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...
Persistent link: https://www.econbiz.de/10005246310
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A Specification Search Algorithm for Cointegrated Systems
Mycielski, Jerzy; Kurcewicz, Michal - Society for Computational Economics - SCE - 2004
A specification search algorithm is proposed that aims to assist the user in the process of constructing Vector Error Correction Models. The algorithm automates testing the cointegration rank of the system and performs simplifications based on possible weak exogeneity of some variables....
Persistent link: https://www.econbiz.de/10005537612
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Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
Chao, John; Chiao, Chaoshin - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 115-131
In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...
Persistent link: https://www.econbiz.de/10004966246