Koop, Gary; Potter, Simon M. - In: Nonlinear time series analysis of business cycles, (pp. 97-131). 2006
This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In...
