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446
Measuring Business Cycles: A Modern Perspective
 The Review of Economics and Statistics
, 1996
"... Abstract: In the first half of this century, special attention was given to two features of the business cycle: the comovement of many individual economic series and the different behavior of the economy during expansions and contractions. Recent theoretical and empirical research has revived intere ..."
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Cited by 113 (13 self)
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Abstract: In the first half of this century, special attention was given to two features of the business cycle: the comovement of many individual economic series and the different behavior of the economy during expansions and contractions. Recent theoretical and empirical research has revived interest in each attribute separately, and we survey this work. Notable empirical contributions are dynamic factor models that have a single common macroeconomic factor and nonlinear regimeswitching models of a macroeconomic aggregate. We conduct an empirical synthesis that incorporates both of these features. It is desirable to know the facts before attempting to explain them; hence, the attractiveness of organizing businesscycle regularities within a modelfree framework. During the first half of this century, much research was devoted to obtaining just such an empirical characterization of the business cycle. The most prominent example of this work
An Empirical Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching
, 1995
"... A dynamic factor model with regime switching is proposed as an empirical characterization of business cycles. The approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions. The first is captured with an unobservable dynami ..."
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Cited by 100 (14 self)
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A dynamic factor model with regime switching is proposed as an empirical characterization of business cycles. The approach integrates the idea of comovements among macroeconomic variables and asymmetries of business cycle expansions and contractions. The first is captured with an unobservable dynamic factor and the second by allowing the factor to switch regimes. The model is estimated by maximizing its likelihood function and the empirical results indicate that the combination of these two features leads to a successful representation of the data relative to extant literature. This holds for within and outofsample and for both revised and real time data.
Threshold Effects in NonDynamic Panels: Estimation, Testing and Inference
 JOURNAL OF ECONOMETRICS
, 1999
"... Threshold regression methods are developed for nondynamic panels with individualspecific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixedeffects transformations. A nonstandard asymptotic theory of inference is developed which allows construct ..."
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Cited by 96 (3 self)
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Threshold regression methods are developed for nondynamic panels with individualspecific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixedeffects transformations. A nonstandard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15year sample of 565 US firms to test whether financial constraints affect investment decisions.
Testing and modeling multivariate threshold models
 Journal of the American Statistical Association
, 1998
"... Threshold autoregressive models in which the process is piecewise linear in the threshold space have received much attention in recent years. In this paper, we use predictive residuals to construct a test statistic to detect threshold nonlinearity in a vector time series and propose a procedure for ..."
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Cited by 86 (0 self)
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Threshold autoregressive models in which the process is piecewise linear in the threshold space have received much attention in recent years. In this paper, we use predictive residuals to construct a test statistic to detect threshold nonlinearity in a vector time series and propose a procedure for building a multivariate threshold model. The thresholds and the model are selected jointly based on the Akaike information criterion. The nitesample performance of the proposed test is studied by simulation. The modeling procedure is then used to study arbitrage in security markets and results in a threshold cointegration between logarithms of future contracts and spot prices of a security after adjusting for the costofcarrying the contracts. In this particular application, thresholds are determined in part by the transaction costs. We also apply the proposed procedure to U.S. monthly interest rates and two river ow series of Iceland.
Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative
, 1995
"... . The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a nonparametric fit, and neither dominates in experiments. This topological unification allows us to greatly ex ..."
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Cited by 83 (13 self)
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. The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a nonparametric fit, and neither dominates in experiments. This topological unification allows us to greatly extend the nuisance parameter approach. How and why the nuisance parameter approach works and how it can be extended bears closely on recent developments in artificial neural networks. Statistical content is provided by viewing specification tests with nuisance parameters as tests of hypotheses about Banachvalued random elements and applying the Banach Central Limit Theorem and Law of Iterated Logarithm, leading to simple procedures that can be used as a guide to when computationally more elaborate procedures may be warranted. 1. Introduction In testing whether or not a parametric statistical model is correctly specified, there are a number of apparently distinct approaches one might take. T...
Testing When a Parameter Is on the Boundary of the Maintained Hypothesis
 Econometrica
, 2001
"... COWLES FOUNDATION DISCUSSION PAPER NO. 1229 ..."
Testing for Linearity
 Journal of Economic Surveys
, 1999
"... Abstract. The problem of testing for linearity and the number of regimes in the context of selfexciting threshold autoregressive (SETAR) models is reviewed. We describe leastsquares methods of estimation and inference. The primary complication is that the testing problem is nonstandard, due to th ..."
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Cited by 76 (1 self)
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Abstract. The problem of testing for linearity and the number of regimes in the context of selfexciting threshold autoregressive (SETAR) models is reviewed. We describe leastsquares methods of estimation and inference. The primary complication is that the testing problem is nonstandard, due to the presence of parameters which are only defined under the alternative, so the asymptotic distribution of the test statistics is nonstandard. Simulation methods to calculate asymptotic and bootstrap distributions are presented. As the sampling distributions are quite sensitive to conditional heteroskedasticity in the error, careful modeling of the conditional variance is necessary for accurate inference on the conditional mean. We illustrate these methods with two applications Ð annual sunspot means and monthly U.S. industrial production. We find that annual sunspots and monthly industrial production are SETAR(2) processes. Keywords. SETAR models; Thresholds; Nonstandard asymptotic theory; Bootstrap
Testing for cointegration when some of the cointegrating vectors are prespecified, Econometric Theory
, 1995
"... Many economic models imply that ratios, simple differences, or "spreads " of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and l's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied ..."
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Cited by 65 (1 self)
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Many economic models imply that ratios, simple differences, or "spreads " of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and l's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model and are motivated as Wald tests from a Gaussian version of the model. When all of the cointegrating vectors are prespecified under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contain unknown parameters. The asymptotic null distributions of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of the forwardspot premium. 1.
2000, “Currency Crises, Sunspots and MarkovSwitching Regimes
 Journal of International Economics
"... This paper investigates the theoretical properties of a class of escape clause models of currency crises as well as their applicability to empirical work. We show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for ..."
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Cited by 61 (0 self)
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This paper investigates the theoretical properties of a class of escape clause models of currency crises as well as their applicability to empirical work. We show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for the devaluation expectations. We then propose an econometric technique, based on the Markovswitching regimes framework, by which these models can be brought to the data. We illustrate this empirical approach by studying the experience of the French franc between 1987 and 1993, and find that the model performs significantly better when it allows the devaluation expectations to be influenced by sunspots.