8 datasets found

In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the...

A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond...

This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term...

This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous...

This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and...

This paper uses an autocorrelation function (ACF) approach to develop a new testing procedure for international output convergence. We define convergence in terms of sample ACFs...

In this paper we offer a bootstrap-based version of the Cox specification test for non-nested hypothesis to discriminate between ESTAR and MSAR models. Both models are commonly...

We propose a new class of models specifically tailored for spatiotemporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and...