In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

In an exchange economy with recursive preferences (Epstein and Zin, 1989), we propose a novel nonparametric generalized method of moment (GMM) series approach to estimate unknown policy functions which are recursively specified in a system of nonlinear conditional expectation models...

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

In the present study, we propose a simple test approach based on the work of Breitung and Candelon (2006), which allows us to test for asymmetric predictability at a pre-specified frequency. The test approach can also be used to test for causality in cointegrated systems, as illustrated by...