Picture of Open Access badges

Discover Open Access research at Strathprints

It's International Open Access Week, 24-30 October 2016. This year's theme is "Open in Action" and is all about taking meaningful steps towards opening up research and scholarship. The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs. Explore recent world leading Open Access research content by University of Strathclyde researchers and see how Strathclyde researchers are committing to putting "Open in Action".


Image: h_pampel, CC-BY

The vector floor and ceiling model

Koop, G.M. and Potter, S. (2006) The vector floor and ceiling model. In: Nonlinear Time Series Analysis of the Business Cycle (Contributions to Economic Analysis series). Elsevier. ISBN 044451838X

PDF (strathprints007260.pdf)

Download (375kB) | Preview


This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In terms of statistical significance both classical and Bayesian methods indicate that the (Gaussian) linear model is inadequate. Using impulse response functions we investigate the economic significance of the statistical analysis. We find evidence of strong nonlinearities in the contemporaneous relationships between the variables and milder evidence of nonlinearity in the conditional mean.