메뉴 건너뛰기




Volumn 23, Issue 4, 2008, Pages 435-462

Comparing smooth transition and Markov switching autoregressive models of US unemployment

Author keywords

[No Author keywords available]

Indexed keywords


EID: 51449090551     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1014     Document Type: Article
Times cited : (50)

References (33)
  • 1
    • 55549084723 scopus 로고
    • Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts
    • Albert J, Chib S. 1993. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts. Journal of Business and Economic Statistics 11: 1-15.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 1-15
    • Albert, J.1    Chib, S.2
  • 2
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews DWK. 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59: 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 3
    • 0035636851 scopus 로고    scopus 로고
    • Testing density forecasts, with applications to risk management
    • Berkowitz J. 2001. Testing density forecasts, with applications to risk management. Journal of Business and Economic Statistics 19: 465-474.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 465-474
    • Berkowitz, J.1
  • 4
    • 0032398677 scopus 로고    scopus 로고
    • Unemployment persistence: Does the size of the shock matter?
    • Bianchi M, Zoega G. 1998. Unemployment persistence: does the size of the shock matter? Journal of Applied Econometrics 13: 283-304.
    • (1998) Journal of Applied Econometrics , vol.13 , pp. 283-304
    • Bianchi, M.1    Zoega, G.2
  • 5
    • 0036403577 scopus 로고    scopus 로고
    • Maximum likelihood estimation of STAR and STAR-GARCH models: Theory and Monte Carlo evidence
    • Chan F, McAleer M. 2002. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence. Journal of Applied Econometrics 17: 509-534.
    • (2002) Journal of Applied Econometrics , vol.17 , pp. 509-534
    • Chan, F.1    McAleer, M.2
  • 6
    • 0042816490 scopus 로고    scopus 로고
    • Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
    • Chan F, McAleer M. 2003. Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers. Applied Financial Economics 13: 581-592.
    • (2003) Applied Financial Economics , vol.13 , pp. 581-592
    • Chan, F.1    McAleer, M.2
  • 7
    • 0003107701 scopus 로고    scopus 로고
    • Calculating posterior distributions and modal estimates in Markov mixture models
    • Chib S. 1996. Calculating posterior distributions and modal estimates in Markov mixture models. Journal of Econometrics 75: 79-97.
    • (1996) Journal of Econometrics , vol.75 , pp. 79-97
    • Chib, S.1
  • 9
    • 33745891535 scopus 로고    scopus 로고
    • A flexible prior distribution for Markov switching autoregressions with Student-t errors
    • Deschamps PJ. 2006. A flexible prior distribution for Markov switching autoregressions with Student-t errors. Journal of Econometrics 133: 153-190.
    • (2006) Journal of Econometrics , vol.133 , pp. 153-190
    • Deschamps, P.J.1
  • 11
    • 0347623647 scopus 로고    scopus 로고
    • Evaluating density forecasts with applications to financial risk management
    • Diebold FX, Gunther TA, Tay AS. 1998. Evaluating density forecasts with applications to financial risk management. International Economic Review 39: 863-883.
    • (1998) International Economic Review , vol.39 , pp. 863-883
    • Diebold, F.X.1    Gunther, T.A.2    Tay, A.S.3
  • 13
    • 1842815959 scopus 로고    scopus 로고
    • Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models
    • Frühwirth-Schnatter S. 2001. Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models. Journal of the American Statistical Association 96: 194-209.
    • (2001) Journal of the American Statistical Association , vol.96 , pp. 194-209
    • Frühwirth-Schnatter, S.1
  • 14
    • 33750369868 scopus 로고    scopus 로고
    • Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques
    • Frühwirth-Schnatter S. 2004. Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques. Econometrics Journal 7: 143-167.
    • (2004) Econometrics Journal , vol.7 , pp. 143-167
    • Frühwirth-Schnatter, S.1
  • 17
    • 0001501256 scopus 로고    scopus 로고
    • Model checking and model improvement
    • Gilks WR, Richardson S, Spiegelhalter DJ eds, Chapman & Hall: London;
    • Gelman A, Meng XL. 1996. Model checking and model improvement. In Markov Chain Monte Carlo in Practice, Gilks WR, Richardson S, Spiegelhalter DJ (eds). Chapman & Hall: London; 189-201.
    • (1996) Markov Chain Monte Carlo in Practice , pp. 189-201
    • Gelman, A.1    Meng, X.L.2
  • 19
    • 0003410290 scopus 로고
    • Princeton University Press: Princeton, NJ
    • Hamilton JD. 1994. Time Series Analysis. Princeton University Press: Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 20
    • 0003414592 scopus 로고
    • 3rd. edn, Oxford University Press: Oxford
    • Jeffreys H. 1961. Theory of Probability (3rd. edn). Oxford University Press: Oxford.
    • (1961) Theory of Probability
    • Jeffreys, H.1
  • 21
    • 12344264761 scopus 로고    scopus 로고
    • Long swings in exchange rates: Are they really in the data?
    • Klaassen F. 2005. Long swings in exchange rates: are they really in the data? Journal of Business and Economic Statistics 23: 87-95.
    • (2005) Journal of Business and Economic Statistics , vol.23 , pp. 87-95
    • Klaassen, F.1
  • 24
    • 33645151774 scopus 로고    scopus 로고
    • Bayesian model uncertainty in smooth transition autoregressions
    • Lopes HF, Salazar E. 2006. Bayesian model uncertainty in smooth transition autoregressions. Journal of Time Series Analysis 27: 99-117.
    • (2006) Journal of Time Series Analysis , vol.27 , pp. 99-117
    • Lopes, H.F.1    Salazar, E.2
  • 25
    • 21444451325 scopus 로고    scopus 로고
    • Simulating ratios of normalizing constants via a simple identity: A theoretical exploration
    • Meng XL, Wong WH. 1996. Simulating ratios of normalizing constants via a simple identity: a theoretical exploration. Statistica Sinica 6: 831-860.
    • (1996) Statistica Sinica , vol.6 , pp. 831-860
    • Meng, X.L.1    Wong, W.H.2
  • 26
    • 3142761519 scopus 로고    scopus 로고
    • Bridge estimation of the probability density at a point
    • Mira A, Nicholls G. 2004. Bridge estimation of the probability density at a point. Statistica Sinica 14: 603-612.
    • (2004) Statistica Sinica , vol.14 , pp. 603-612
    • Mira, A.1    Nicholls, G.2
  • 28
    • 22044448315 scopus 로고    scopus 로고
    • Forecasting asymmetric unemployment rates
    • Rothman P. 1998. Forecasting asymmetric unemployment rates. Review of Economics and Statistics 80: 164-168.
    • (1998) Review of Economics and Statistics , vol.80 , pp. 164-168
    • Rothman, P.1
  • 29
    • 33747888377 scopus 로고    scopus 로고
    • Markov-switching model selection using Kullback-Leibler divergence
    • Smith A, Naik PA, Tsai CL. 2006. Markov-switching model selection using Kullback-Leibler divergence. Journal of Econometrics 134: 553-577.
    • (2006) Journal of Econometrics , vol.134 , pp. 553-577
    • Smith, A.1    Naik, P.A.2    Tsai, C.L.3
  • 30
    • 84923053681 scopus 로고
    • Specification, estimation, and evaluation of smooth transition autoregressive models
    • Teräsvirta T. 1994. Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 89: 208-218.
    • (1994) Journal of the American Statistical Association , vol.89 , pp. 208-218
    • Teräsvirta, T.1
  • 31
    • 0000576595 scopus 로고
    • Markov chains for exploring posterior distributions
    • Tierney L. 1994. Markov chains for exploring posterior distributions. Annals of Statistics 22: 1701-1762.
    • (1994) Annals of Statistics , vol.22 , pp. 1701-1762
    • Tierney, L.1
  • 32
    • 85045980281 scopus 로고    scopus 로고
    • Smooth transition autoregressive models: A survey of recent developments
    • Van Dijk D, Teräsvirta T, Franses PH. 2002. Smooth transition autoregressive models: a survey of recent developments. Econometric Reviews 21: 1-47.
    • (2002) Econometric Reviews , vol.21 , pp. 1-47
    • Van Dijk, D.1    Teräsvirta, T.2    Franses, P.H.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.