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"Many modeling 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, for example, 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"--Federal Reserve Bank of New York web site.
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Time-series analysisShowing 1 featured edition. View all 1 editions?
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1
Are apparent findings of nonlinearity due to structural instability in economic time series?
1999, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 2/3/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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