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Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates

Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 2

This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...

Persistent link: https://www.econbiz.de/10014620951

Multivariate contemporaneous threshold autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - 2007

Persistent link: https://www.econbiz.de/10003740624

Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003558927

Multivariate contemporaneous-threshold autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10009242250

State-dependent threshold smooth transition autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Oxford bulletin of economics and statistics 75 (2013) 6, pp. 835-854

Persistent link: https://www.econbiz.de/10010240900

Contemporaneous-threshold smooth transition GARCH models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10009515540

Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10002807278

Forecast performance of nonlinear error-correction models with multiple regimes

Psaradakis, Zacharias G.; Spagnolo, Fabio - In: Journal of forecasting 24 (2005) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10002674332

A simple procedure for detecting periodically collapsing rational bubbles

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Economics letters 72 (2001) 3, pp. 317-323

Persistent link: https://www.econbiz.de/10001602347

Risk premia with Markov regimes and the term structure of interest rates

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2002

Persistent link: https://www.econbiz.de/10001717801