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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

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

Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound

Berg, Tim Oliver - 2015

, estimatedshrinkage, and no nonlinearity. Then I entertain alternative specifications of the zerolower bound: replace the federal funds … dealwith the nonlinearity in the policy rate. Since the policy rate will remain low for sometime, these findings could prove …

Persistent link: https://www.econbiz.de/10011388143

Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates

Reif, Magnus - 2018

Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...

Persistent link: https://www.econbiz.de/10011956668

Studies in time series analysis of consumption, asset prices and forecasting

Takala, Kari - 2001

Sisällysluettelo: Kari Takala Studies in time series analysis of consumption, asset prices and forecasting 11 Kari … seven papers deals with three different areas of econometric applications: consumption, asset prices, and forecasting … consumption theories and formulates an error-correction forecasting model for consumption.A single cointegration relationship is …

Persistent link: https://www.econbiz.de/10012148886

The lasso for high-dimensional regression with a possible change-point

Lee, Sokbae; Seo, Myung Hwan; Shin, Youngki - 2014

We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...

Persistent link: https://www.econbiz.de/10011282656

Information criteria for nonlinear time series models

Rinke, Saskia; Sibbertsen, Philipp - 2015

In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

Persistent link: https://www.econbiz.de/10011324708

Autocracy and the public: Mass revolts, winning coalitions, and policy control in dictatorships

Apolte, Thomas - 2015

Threats of mass revolts could effectively constrain a dictator's public policy if it were not for the collective-action problem. Mass revolts nevertheless happen, but they follow a stochastic pattern. We describe this pattern in a threshold model of collective action and integrate it into an...

Persistent link: https://www.econbiz.de/10011341087

Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria

Fernández-Amador, Octavio; Baumgartner, Josef; … - 2010

-run equilibrium) for the retailers' side. The explicit modeling of nonlinearities does not improve out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10010294789

Is there a Laffer curve between aggregate output and public sector employment?

Koskela, Erkki; Virén, Matti - 2000

nonlinearity hypothesis between public employment and private sector output. …

Persistent link: https://www.econbiz.de/10010285036

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