Mostrar el registro sencillo del ítem
dc.contributor.author
Dueker, Michael
dc.contributor.author
Jackson, Laura E
dc.contributor.author
Owyang, Michael T
dc.contributor.author
Sola, Martin
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.date.available
2024-06-25T14:12:52Z
dc.date.issued
2022-12
dc.identifier.citation
Dueker, Michael; Jackson, Laura E; Owyang, Michael T; Sola, Martin; A time-varying threshold STAR model with applications; Oxford University Press; Oxford Open Economics; 2; 12-2022; 1-12
dc.identifier.uri
http://hdl.handle.net/11336/238459
dc.description.abstract
Smooth-transition autoregressive (STAR) models, competitors of Markov-switching models, are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying threshold that can be interpreted as a ‘tipping level’ where the mean and dynamics of the VAR shift. Thus, the time-varying latent threshold level serves as a demarcation between regimes. We show how to estimate the model in a Bayesian framework using a Metropolis step and an unscented Kalman filter proposal. To show how allowing time variation in the threshold can affect the results, we present two applications: a model of the natural rate of unemployment and a model of regime-dependent government spending.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Oxford University Press
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by/2.5/ar/
dc.rights.uri
https://creativecommons.org/licenses/by/2.5/ar/
dc.subject
Regime switching
dc.subject
Smooth-transition autoregressive model
dc.subject
Nonlinear models
dc.subject
Unemployment
dc.subject.classification
Economía, Econometría
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.subject.classification
Economía y Negocios
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.subject.classification
CIENCIAS SOCIALES
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.title
A time-varying threshold STAR model with applications
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2024-06-18T12:55:58Z
dc.identifier.eissn
2752-5074
dc.journal.volume
2
dc.journal.pagination
1-12
dc.journal.pais
Reino Unido
![Se ha confirmado la validez de este valor de autoridad por un usuario](/themes/CONICETDigital/images/authority_control/invisible.gif)
dc.journal.ciudad
Oxford
dc.description.fil
Fil: Dueker, Michael. Russell Investments; Estados Unidos
dc.description.fil
Fil: Jackson, Laura E. Bentley University; Estados Unidos
dc.description.fil
Fil: Owyang, Michael T. Federal Reserve Bank of St. Louis; Estados Unidos
dc.description.fil
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
Oxford Open Economics
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://academic.oup.com/ooec/article/doi/10.1093/ooec/odac012/6887821
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1093/ooec/odac012
Archivos asociados