Do monetary policy shocks generate TAR or STAR dynamics in output?

DOI10.1515/SNDE-2013-0038zbMath1506.62500OpenAlexW2086615327MaRDI QIDQ2687868

Luiggi Donayre

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0038

zbMATH Keywords

asymmetryBayesian analysismonetary policyMCMC methodsunobserved components modelthreshold autoregressive processsmooth transition autoregressive process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

Outliers and persistence in threshold autoregressive processes

Cites Work

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• Impulse response analysis in nonlinear multivariate models
• Bayes factors and nonlinearity: Evidence from economic time series
• Marginal Likelihood From the Metropolis–Hastings Output
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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