Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

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)
Download (206Kb) | 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.

    Item type: Article
    ID code: 6941
    Keywords: bayes factor, markov chain monte carlo, threshold autoregressive model, time varying parameter model, Probabilities. Mathematical statistics, Economic Theory
    Subjects: Science > Mathematics > Probabilities. Mathematical statistics
    Social Sciences > Economic Theory
    Department: Strathclyde Business School > Economics
    Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 03 Oct 2008
    Last modified: 12 Mar 2012 13:23
    URI: http://strathprints.strath.ac.uk/id/eprint/6941

    Actions (login required)

    View Item

    Fulltext Downloads: