Picture of flying drone

Award-winning sensor signal processing research at Strathclyde...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by Strathclyde researchers involved in award-winning research into technology for detecting drones. - but also other internationally significant research from within the Department of Electronic & Electrical Engineering.

Strathprints also exposes world leading research from the Faculties of Science, Engineering, Humanities & Social Sciences, and from the Strathclyde Business School.

Discover more...

Are apparent findings of nonlinearity due to structural instability in economic time series?

Koop, G.M. and Potter, S. (2001) Are apparent findings of nonlinearity due to structural instability in economic time series? Econometrics Journal, 4 (1). pp. 37-55. ISSN 1368-4221

[img]
Preview
PDF (strathprints006941.pdf)
strathprints006941.pdf

Download (211kB) | Preview

Abstract

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g., a threshold autoregressive model) or whether they merely reflect changing structure over time. We advocate a Bayesian approach and show how such an approach can be implemented in practice. An empirical exercise involving several macroeconomic time series shows that apparent findings of threshold type nonlinearities could be due to structural instability.