A recent strand of the literature has proposed stochastic time-varying coefficient models for modelling structural change in the macroeconomy under both exogeneity and endogeneity. Subsequently, a new class of kernel based non-parametric estimators has been introduced for these models. These...

In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of...

The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests appear to be sensitive with respect to the sample period that one considers. As a way of overcoming this difficulty,...