Chauvet, Marcelle; Tierney, Heather L. R. - Volkswirtschaftliche Fakultät, … - 2007
This paper investigates potential changes in monetary policy over the last decades using a nonparametric vector … autoregression model. In the proposed model, the conditional mean and variance are time-dependent and estimated using a nonparametric … local linear method, which allows for different forms of nonlinearity, conditional heteroskedasticity, and non …